Inference for impulse response coefficients from multivariate fractionally integrated processes
Year of publication: |
2017
|
---|---|
Authors: | Baillie, Richard ; Kapetanios, George ; Papailias, Fotis |
Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 36.2017, 1/3, p. 60-84
|
Subject: | Confidence intervals | fractional integration | impulse responses | long memory processes | VARs | Schätztheorie | Estimation theory | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis | Induktive Statistik | Statistical inference |
-
Inference on impulse response functions in structural VAR models
Inoue, Atsushi, (2013)
-
Robust inference for non-Gaussian SVAR models
Hoesch, Lukas, (2022)
-
Robust inference for non-Gaussian SVAR models
Hoesch, Lukas, (2022)
- More ...
-
Bandwidth selection by cross-validation for forecasting long memory financial time series
Baillie, Richard, (2014)
-
Inference for Impulse Response Coefficients from Multivariate Fractionally Integrated Processes
Baillie, Richard, (2014)
-
Camba-Méndez, Gonzalo, (2015)
- More ...