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Bootstrapping structural VARs: Avoiding a potential bias in confidence intervals for impulse response functions
13 references·2 citing·42 second hopsampled
Bootstrapping structural VARs: Avoiding a potential bias in confidence intervals for impulse response functions (2011)Bootstrapping structural VARs: Avoiding a…Assessing Structural VARs (2006)Assessing Structural VARsAssessing Structural VARs [with Comments and Discussion] (2006)Assessing Structural VARs [wi…Bootstrapping Smooth Functions of Slope Parameters and Innovation Variances in VAR(∞) Models* (2002)Bootstrapping Smooth Function…How accurate are confidence intervals for impulse responses in large VAR models? (2000)How accurate are confidence i…Error Bands for Impulse Responses (1999)Error Bands for Impulse Respo…Small-sample Confidence Intervals for Impulse Response Functions (1998)Small-sample Confidence Inter…Monetary Policy Shocks: What Have We Learned and to What End? (1998)Monetary Policy Shocks: What …Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations (1996)Technology, Employment, and t…Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models (1993)Asymptotic Distributions of I…Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models (1990)Asymptotic Distributions of I…The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)The Dynamic Effects of Aggreg…Vector Autoregressions and Reality (1987)Vector Autoregressions and Re…Estimating Properties of Autoregressive Forecasts (1987)Estimating Properties of Auto…Post‐COVID inflation dynamics: Higher for longer (2024)Post‐COVID inflation dynamics…CAUSAL RELATIONSHIPS BETWEEN ENTREPRENEURSHIP, UNEMPLOYMENT AND ECONOMIC GROWTH IN SELECTED COUNTRIES (2022)CAUSAL RELATIONSHIPS BETWEEN …Aggregate Dynamics and Staggered Contracts (1980)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Impulse response analysis in nonlinear multivariate models (1996)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy (1997)Structural vector autoregressions (2013)Vector autoregressive models (2013)Local Projections and VARs Estimate the Same Impulse Responses (2021)Macroeconomics and Reality (1980)Time to Build and Aggregate Fluctuations (1982)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)The general equilibrium effects of fiscal policy: Estimates for the Euro area (2008)Back to square one: Identification issues in DSGE models (2009)Macroeconomic Shocks and Their Propagation (2016)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)What Do a Million Observations on Banks Say About the Transmission of Monetary Policy? (2000)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Bootstrap Prediction Intervals for Autoregression (1990)Calculating Interval Forecasts (1993)More powerful panel data unit root tests with an application to mean reversion in real exchange rates (2004)Vector Autoregressions and Reality (2002)The macroeconomy and the yield curve: a dynamic latent factor approach (2005)Staggered prices in a utility-maximizing framework (1983)Inflation dynamics: A structural econometric analysis (1999)American Economic Review (2019)The Quarterly Journal of Economics (2024)Are Forecasting Models Usable for Policy Analysis? (1986)Inference in Linear Time Series Models with some Unit Roots (1990)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Estimation and Inference of Impulse Responses by Local Projections (2005)Trends and random walks in macroeconomic time series (1988)The Band Pass Filter (1999)Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)A Monetary History of the United States 1867-1960 (1964)Forecasting With Bayesian Vector Autoregressions—Five Years of Experience (1986)Investor Overconfidence and Trading Volume (2006)Introductory Econometrics for Finance (2008)
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References

  • 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances3,940 cited
  • 1998Monetary Policy Shocks: What Have We Learned and to What End?2,203 cited
  • 1996Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations1,731 cited
  • 1999Error Bands for Impulse Responses930 cited
  • 1998Small-sample Confidence Intervals for Impulse Response Functions919 cited
  • 1987Vector Autoregressions and Reality404 cited
  • 1990Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models267 cited
  • 2006Assessing Structural VARs217 cited
  • 1987Estimating Properties of Autoregressive Forecasts202 cited
  • 2002Bootstrapping Smooth Functions of Slope Parameters and Innovation Variances in VAR(∞) Models*63 cited
  • 1993Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models60 cited
  • 2000How accurate are confidence intervals for impulse responses in large VAR models?49 cited
  • 2006Assessing Structural VARs [with Comments and Discussion]49 cited

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  • 2024Post‐COVID inflation dynamics: Higher for longer8 cited

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2022
CAUSAL RELATIONSHIPS BETWEEN ENTREPRENEURSHIP, UNEMPLOYMENT AND ECONOMIC GROWTH IN SELECTED COUNTRIES
7 cited