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Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review · Study

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ArticleConstructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review

Helmut Lütkepohl2018

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Articlegreen2018

Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review

Helmut Lütkepohl · Anna Staszewska‐Bystrova · Peter Winker

16 citations·0/0 files stored·Econometrics and Statistics

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Monetary Policy and Economic Impact Forecasting Techniques and Applications Diverse Scientific and Economic Studies

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References

1980Macroeconomics and Reality 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market 2015Monetary Policy Surprises, Credit Costs, and Economic Activity 2009Causes and Consequences of the Oil Shock of 2007–08 2017Structural Vector Autoregressive Analysis 2009Causes and Consequences of the Oil Shock of 2007-08 1999Error Bands for Impulse Responses 1998Small-sample Confidence Intervals for Impulse Response Functions

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2019The uniform validity of impulse response inference in autoregressionsarticle · 9 shared references 2022The Role of the Prior in Estimating VAR Models with Sign Restrictionspreprint · 9 shared references 2016Joint confidence sets for structural impulse responsesarticle · 8 shared references 2016The relationship between global oil price shocks and China's output: A time-varying analysisarticle · 7 shared references 2015Confidence Bands for Impulse Responses: Bonferroni vs. Waldarticle · 7 shared references 2018Balanced Bootstrap Joint Confidence Bands for Structural Impulse Response Functionsarticle · 7 shared references

Details

Year2018

Typearticle

Published2018-01-01

VenueEconometrics and Statistics

ISSN-L2452-3062

Languageen

Citations16

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.ecosta.2018.10.002

openalex_workW2897836044

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