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Asymptotic confidence intervals for impulse responses of near‐integrated processes

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References

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1992Impulse response analysis of cointegrated systems

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433 cited

1994Approximately Median-Unbiased Estimation of Autoregressive Models428 cited

Cited by

2019The uniform validity of impulse response inference in autoregressions33 cited
2009Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions30 cited
2006Impulse response confidence intervals for persistent data: What have we learned?30 cited
2016Quantile unit root test and PPP: evidence from 23 OECD countries27 cited
2006Half-life estimation based on the bias-corrected bootstrap: A highest density region approach24 cited
2007Real interest parity (RIP) over the 20th century: New evidence based on confidence intervals for the largest root and the half-life15 cited
2017FACTOR MODELS AND TIME‐VARYING PARAMETER FRAMEWORK FOR FORECASTING EXCHANGE RATES AND INFLATION: A SURVEY12 cited