Bootstrap confidence intervals for impulse responses computed from autoregressive processes are considered. A detailed analysis of the methods in current use shows that they are not very reliable in some cases. In particular, there are theoretical reasons for them to have actual coverage...

Linear errors-in-covariables models are considered, assuming the availability of independent validation data on the covariables in addition to primary data on the response variable and surrogate covariables. We first develop an estimated empirical log-likelihood with the help of validation data...

It is argued that standard impulse response analysis based on vector autoregressive models has a number of shortcomings. Although the impulse responses are estimated quantities, measures for sampling variability such as confidence intervals are often not provided. If confidence intervals are...

A major application of rescaled adjusted range analysis (RS analysis) is the study of price fluctuations in financial markets. There, the value of the Hurst constant, H, in a time series may be interpreted as an indicator of the irregularity of the price of a commodity, currency or similar...