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Consistent inference for predictive regressions in persistent economic systems
Andersen, Torben; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 224 (2021) 1, pp. 215-244
Persistent link: https://www.econbiz.de/10013275373
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Inference in Bayesian Proxy-SVARs
Arias, Jonas E.; Rubio-Ramírez, Juan Francisco; … - In: Journal of econometrics 225 (2021) 1, pp. 88-106
Persistent link: https://www.econbiz.de/10013279023
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Robust Bayesian inference in proxy SVARs
Giacomini, Raffaella; Kitagawa, Toru; Read, Matthew - In: Journal of econometrics 228 (2022) 1, pp. 107-126
Persistent link: https://www.econbiz.de/10013441729
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Testing for Granger causality in large mixed-frequency VARs
Götz, Thomas B.; Hecq, Alain W. J.; Smeekes, Stephan - In: Journal of econometrics 193 (2016) 2, pp. 418-432
Persistent link: https://www.econbiz.de/10011704990
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Finite-sample simulation-based inference in VAR models with application to Granger causality testing
Dufour, Jean-Marie; Jouini, Tarek - In: Journal of econometrics 135 (2006) 1/2, pp. 229-254
Persistent link: https://www.econbiz.de/10003376083
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Inference in structural Vector Autoregressions identified with an external instrument
Olea, José Luis Montiel; Stock, James H.; Watson, Mark W. - In: Journal of econometrics 225 (2021) 1, pp. 74-87
Persistent link: https://www.econbiz.de/10013279009
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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/10010189887
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The uniform validity of impulse response inference in autoregressions
Inoue, Atsushi; Kilian, Lutz - In: Journal of econometrics 215 (2020) 2, pp. 450-472
Persistent link: https://www.econbiz.de/10012439494
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Statistical inference for independent component analysis : application to structural VAR models
Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - In: Journal of econometrics 196 (2017) 1, pp. 111-126
Persistent link: https://www.econbiz.de/10011743785
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Joint confidence sets for structural impulse responses
Inoue, Atsushi; Kilian, Lutz - In: Journal of econometrics 192 (2016) 2, pp. 421-432
Persistent link: https://www.econbiz.de/10011704726