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Calculating joint confidence bands for impulse response functions using highest density regions
7 references·1 citing·38 second hop
Calculating joint confidence bands for impulse response functions using highest density regions (2017)Calculating joint confidence bands for im…Joint confidence sets for structural impulse responses (2016)Joint confidence sets for str…Confidence Bands for Impulse Responses: Bonferroni vs. Wald (2015)Confidence Bands for Impulse …Comparison of methods for constructing joint confidence bands for impulse response functions (2013)Comparison of methods for con…Simultaneous Confidence Regions for Impulse Responses (2009)Simultaneous Confidence Regio…Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Improved estimation of the co…Small-sample Confidence Intervals for Impulse Response Functions (1998)Small-sample Confidence Inter…Highest‐density forecast regions for nonlinear and non‐normal time series models (1995)Highest‐density forecast regi…Uniform Priors for Impulse Responses (2022)Uniform Priors for Impulse Re…Inference in Linear Time Series Models with some Unit Roots (1990)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Impulse response matching estimators for DSGE models (2016)The uniform validity of impulse response inference in autoregressions (2019)Forecasting macroeconomic effects of stablecoin adoption: A Bayesian approach (2022)Forecasting: Methods and Applications (1984)Some recent developments in non-linear time series modelling, testing, and forecasting (1992)A nonlinear long memory model, with an application to US unemployment (2002)The out-of-sample forecasting performance of nonlinear models of real exchange rate behavior (2006)The Role of El Niño Southern Oscillation in Commodity Price Movement and Predictability (2017)Econometric policy evaluation: A critique (1976)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Estimation and Inference of Impulse Responses by Local Projections (2005)NONLINEARITIES IN THE OIL PRICE–OUTPUT RELATIONSHIP (2011)Fair weather or foul? The macroeconomic effects of El Niño (2017)The effects of markets, uncertainty and search intensity on bitcoin returns (2018)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)International Stock Return Comovements (2005)High dimensional covariance matrix estimation using a factor model (2008)Trends and random walks in macroeconomic time series (1988)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Costly capital reallocation and the effects of government spending (1998)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)Uncertainty and Economic Activity: Evidence from Business Survey Data (2013)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations (1996)Interactive Relationship among Urban Expansion, Economic Development, and Population Growth since the Reform and Opening up in China: An Analysis Based on a Vector Error Correction Model (2019)The Role of the Prior in Estimating VAR Models with Sign Restrictions (2020)Intervening on psychopathology networks: Evaluating intervention targets through simulations (2021)Measuring Monetary Policy (1998)In the long run, US unemployment follows inflation like a faithful dog (2014)Comparison of local projection estimators for proxy vector autoregressions (2021)Error Bands for Impulse Responses (1999)Structural Vector Autoregressive Analysis (2017)
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References

  • 2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection1,634 cited
  • 1998Small-sample Confidence Intervals for Impulse Response Functions919 cited
  • 2009Simultaneous Confidence Regions for Impulse Responses121 cited
  • 1995Highest‐density forecast regions for nonlinear and non‐normal time series models87 cited
  • 2013Comparison of methods for constructing joint confidence bands for impulse response functions60 cited
  • 2016Joint confidence sets for structural impulse responses49 cited
  • 2015Confidence Bands for Impulse Responses: Bonferroni vs. Wald40 cited

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  • 2022Uniform Priors for Impulse Responses15 cited

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