SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions
7 references·16 citing·42 second hop
Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions (1993)Misspecifications in vector autoregressio…Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models (1990)Asymptotic Distributions of I…Are Forecasting Models Usable for Policy Analysis? (1986)Are Forecasting Models Usable…Forecasting and conditional projection using realistic prior distributions (1984)Forecasting and conditional p…Forecasting and Conditional Projection Using Realistic Prior Distributions (1983)Forecasting and Conditional P…Policy Analysis with Econometric Models (1982)Policy Analysis with Economet…Macroeconomics and Reality (1980)Macroeconomics and RealityTime series analysis and simultaneous equation econometric models (1974)Time series analysis and simu…Long-term inflation expectations and monetary policy in the euro area before the pandemic (2023)Long-term inflation expectati…Identification with External Instruments in Structural VARs (2023)Identification with External …Time series analysis of intensive longitudinal data in psychosomatic research: A methodological overview (2020)Time series analysis of inten…Panel evidence on the impact of tourism growth on poverty, poverty gap and income inequality (2017)Panel evidence on the impact …Government purchases reloaded: Informational insufficiency and heterogeneity in fiscal VARs (2017)Government purchases reloaded…International Sentiment Spillovers in Equity Returns (2016)International Sentiment Spill…Causal Linkages Between Domestic Terrorism and Economic Growth (2011)Causal Linkages Between Domes…Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features (2009)Selection of Optimal Lag Leng…Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity (2007)Asymptotic and Bootstrap Infe…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…Lag length selection in vector autoregressive models: symmetric and asymmetric lags (1999)Lag length selection in vecto…A survey of alternative methodologies for estimating potential output and the output gap (1999)A survey of alternative metho…Nonlinear VAR: Some Theory and an Application to US GNP and Unemployment (1998)Nonlinear VAR: Some Theory an…Do Measures of Monetary Policy in a Var Make Sense? (1998)Do Measures of Monetary Polic…A Common Trends Model : Identification, Estimation and Inference (1993)A Common Trends Model : Ident…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT (2009)Path forecast evaluation (2010)Nested forecast model comparisons: A new approach to testing equal accuracy (2014)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)What happened to the oil price-macroeconomy relationship? (1996)Vector Autoregressions and Reality (2002)Bootstrapping autoregressions with conditional heteroskedasticity of unknown form (2004)CISS - A Composite Indicator of Systemic Stress in the Financial System (2010)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series (1971)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Introductory Econometrics for Finance (2008)Time Series Analysis, Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Effects of model specification on tests for unit roots in macroeconomic data (1987)Shifting endpoints in the term structure of interest rates (2001)Sign Restrictions in Structural Vector Autoregressions: A Critical Review (2011)Another look at the instrumental variable estimation of error-components models (1995)Testing for unit roots in heterogeneous panels (2003)Does Tourism Reduce Poverty in Sub-Saharan African Countries? (2019)Scenario Forecasting for Global Tourism (2020)Tourism development and sustainable well-being: a Beyond GDP perspective (2020)Econometric Analysis of Panel Data (2021)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Energy consumption, real income and temporal causality: results from a multi-country study based on cointegration and error-correction modelling techniques (1996)Energy shocks and financial markets (1996)Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: A Comment (2004)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)What Does Monetary Policy Do? (1996)Oil price shocks and stock market activity (1999)What are the effects of fiscal policy shocks? (2009)
this work references cited by second hop

References

  • 1980Macroeconomics and Reality12,826 cited
  • 1986Are Forecasting Models Usable for Policy Analysis?1,224 cited
  • 1983Forecasting and Conditional Projection Using Realistic Prior Distributions1,209 cited
  • 1984Forecasting and conditional projection using realistic prior distributions1,203 cited
  • 1982Policy Analysis with Econometric Models681 cited
  • 1974Time series analysis and simultaneous equation econometric models655 cited
  • 1990Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models267 cited

Cited by

  • 2017Panel evidence on the impact of tourism growth on poverty, poverty gap and income inequality141 cited
  • 2011Causal Linkages Between Domestic Terrorism and Economic Growth114 cited
  • 2007Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity108 cited
  • 1999Lag length selection in vector autoregressive models: symmetric and asymmetric lags91 cited
  • 1993A Common Trends Model : Identification, Estimation and Inference87 cited
  • 2020Time series analysis of intensive longitudinal data in psychosomatic research: A methodological overview68 cited
  • 2023Long-term inflation expectations and monetary policy in the euro area before the pandemic

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

63 cited
  • 2002Bootstrapping Smooth Functions of Slope Parameters and Innovation Variances in VAR(∞) Models*63 cited
  • 2016International Sentiment Spillovers in Equity Returns56 cited
  • 2023Identification with External Instruments in Structural VARs49 cited
  • 2000How accurate are confidence intervals for impulse responses in large VAR models?49 cited
  • 2017Government purchases reloaded: Informational insufficiency and heterogeneity in fiscal VARs48 cited
  • 1999A survey of alternative methodologies for estimating potential output and the output gap46 cited
  • 1998Nonlinear VAR: Some Theory and an Application to US GNP and Unemployment43 cited
  • 1998Do Measures of Monetary Policy in a Var Make Sense?39 cited
  • 2009Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features36 cited