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Estimation of Structural Impulse Responses : Short-Run Versus Long-Run Identifying Restrictions
Lütkepohl, Helmut - 2017
There is evidence that estimates of long-run impulse responses of structural vector autoregressive (VAR) models based on long-run identifying restrictions may not be very accurate. This finding suggests that using short-run identifying restrictions may be preferable. We compare structural VAR...
Persistent link: https://www.econbiz.de/10012962687
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Estimation of structural impulse responses : short-run versus long-run identifying restrictions
Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - 2017
There is evidence that estimates of long-run impulse responses of structural vector autoregressive (VAR) models based on long-run identifying restrictions may not be very accurate. This finding suggests that using short-run identifying restrictions may be preferable. We compare structural VAR...
Persistent link: https://www.econbiz.de/10011595499
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Time-varying instrumental variable estimation
Giraitis, Liudas; Kapetanios, George; Marcellino, … - 2020
We develop non-parametric instrumental variable estimation and inferential theory for econometric models with possibly …
Persistent link: https://www.econbiz.de/10012262677
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Comparison of methods for constructing joint confidence bands for impulse response functions
Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - 2013
indicate the sampling uncertainty in the estimation results. A range of methods are reviewed and a new proposal is made for …
Persistent link: https://www.econbiz.de/10009748563
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Comparison of methods for constructing joint confidence bands for impulse response functions
Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - 2013
indicate the sampling uncertainty in the estimation results. A range of methods are reviewed and a new proposal is made for …
Persistent link: https://www.econbiz.de/10009735723
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Confidence bands for impulse responses : Bonferroni versus Wald
Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - 2014
In impulse response analysis estimation uncertainty is typically displayed by constructing bands around estimated …
Persistent link: https://www.econbiz.de/10010230560
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Confidence bands for impulse responses Bonferroni versus Wald
Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - 2014
In impulse response analysis estimation uncertainty is typically displayed by constructing bands around estimated …
Persistent link: https://www.econbiz.de/10010233995
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Confidence bands for impulse responses : Bonferroni versus Wald
Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - 2014
In impulse response analysis estimation uncertainty is typically displayed by constructing bands around estimated …
Persistent link: https://www.econbiz.de/10010246022
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Calculating joint confidence bands for impulse response functions using highest density regions
Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - 2016
of vector autoregressive models. The estimation uncertainty is captured by means of bootstrapping and the highest density …
Persistent link: https://www.econbiz.de/10011442327
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Calculating joint confidence bands for impulse response functions using highest density regions
Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - 2016
of vector autoregressive models. The estimation uncertainty is captured by means of bootstrapping and the highest density …
Persistent link: https://www.econbiz.de/10011452908