often not provided. If confidence intervals are given they are often based on bootstrap methods with poor theoretical …. Special emphasis is placed on systems with cointegrated variables. -- monetary policy ; bootstrap ; impulse response ; money …

use quantities derived from the parameters to disentangle the relationships between the variables. Bootstrap methods are … often used for inference on the derived quantities. Alternative bootstrap methods for this purpose are discussed, some … problems are presented. -- Impulse response ; bootstrap ; vector autoregression ; confidence interval …

problem of online estimation of current values of w = w(T) and a = a(T) from the observations SI , ... ,ST. We propose an … adaptive method of estimation which does not use any information about time homogeneity of the obscured process. We apply this …

alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of …

Classical parametric estimation methods applied to nonlinear regression and limited-dependent-variable models are very … restricted by parametric assumptions, require more data and are less efficient. A third possible estimation approach is based on … ; limited-dependent-variable models ; nonlinear regression ; robust estimation …

We propose a new estimator for nonparametric regression based on local likelihood estimation using an estimated error … simulated data. -- Adaptive Estimation; Asymptotic Expansions ; Efficiency ; Kernel ; Local Likelihood Estimation …

Bootstrap confidence intervals for impulse responses computed from autoregressive processes are considered. A detailed … situations of practical importance. For a simple case alternative bootstrap methods are proposed which provide correct results …