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Inference on Impulse Response Functions in Structural VAR Models

Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2011

Skepticism toward traditional identifying assumptions based on exclusion restrictions has led to a surge in the use of structural VAR models in which structural shocks are identified by restricting the sign of the responses of selected macroeconomic aggregates to these shocks. Researchers...

Persistent link: https://www.econbiz.de/10009493558

Frequentist Inference in Weakly Identified DSGE Models

Guerron-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2009

We show that in weakly identified models (1) the posterior mode will not be a consistent estimator of the true parameter vector, (2) the posterior distribution will not be Gaussian even asymptotically, and (3) Bayesian credible sets and frequentist confidence sets will not coincide...

Persistent link: https://www.econbiz.de/10008528534

Inference on impulse response functions in structural VAR models

Inoue, Atsushi; Kilian, Lutz - In: Journal of Econometrics 177 (2013) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10010703139

Impulse Response Matching Estimators for DSGE Models

Guerron-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2014

One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response matching estimator. The existing asymptotic theory for this estimator does not cover situations in which the number of impulse response parameters exceeds the number of VAR model...

Persistent link: https://www.econbiz.de/10011145457

Joint Confidence Sets for Structural Impulse Responses

Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2014

Many users of structural VAR models are primarily interested in learning about the shape of structural impulse response functions. This requires joint inference about sets of structural impulse responses, allowing for dependencies across time as well as across response functions. Such joint...

Persistent link: https://www.econbiz.de/10011084610

Do Local Projections Solve the Bias Problem in Impulse Response Inference?

Kilian, Lutz; Kim, Yun Jung - C.E.P.R. Discussion Papers - 2009

It is well documented that the small-sample accuracy of asymptotic and bootstrap approximations to the pointwise distribution of VAR impulse response estimators is undermined by the estimator’s bias. A natural conjecture is that impulse response estimators based on the local projection (LP)...

Persistent link: https://www.econbiz.de/10005666791

Asymmetry and leverage in conditional volatility models

McAleer, Michael - In: Econometrics : open access journal 2 (2014) 3, pp. 145-150

The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...

Persistent link: https://www.econbiz.de/10010417180

A one line derivation of EGARCH

McAleer, Michael; Hafner, Christian M. - In: Econometrics : open access journal 2 (2014) 2, pp. 92-97

parameters are not available under general conditions, but rather only for special cases under highly restrictive and … unverifiable conditions. It is often argued heuristically that the reason for the lack of general statistical properties arises … (2) the reason for the lack of statistical properties of the estimators of EGARCH under general conditions is that the …

Persistent link: https://www.econbiz.de/10010392823

Bagging Time Series Models

Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2004

A common problem in out-of-sample prediction is that there are potentially many relevant predictors that individually have only weak explanatory power. We propose bootstrap aggregation of pre-test predictors (or bagging for short) as a means of constructing forecasts from multiple regression...

Persistent link: https://www.econbiz.de/10005124019

Measuring Predictability: Theory And Macroeconomic Applications

Diebold, Francis X; Kilian, Lutz - C.E.P.R. Discussion Papers - 2000

allows for general loss functions, univariate or multivariate information sets, and covariance stationary or difference …

Persistent link: https://www.econbiz.de/10005124232