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The estimation uncertainty of permanent-transitory decompositions in cointegrated systems
Schreiber, Sven - 2011 - this version: February 2011
Bootstrap-Varianten. Zur Illustration analysieren wir die Unsicherheit der geschätzten Produktionslücken in den USA, in einem … datain that period. To calculate asymptotically valid confidence intervals we use the delta method and two bootstrap variants …
Persistent link: https://www.econbiz.de/10009530402
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The estimation uncertainty of permanent-transitory decompositions in co-integrated systems : conference paper
Schreiber, Sven - 2014 - This version: February 2014
data in that period. To calculate asymptotically valid confidence intervals we use the delta method and two bootstrap …
Persistent link: https://www.econbiz.de/10010489880
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The estimation uncertainty of permanent-transitory decompositions in co-integrated systems
Schreiber, Sven - In: Econometric reviews 38 (2019) 3, pp. 279-300
Persistent link: https://www.econbiz.de/10012181279
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Estimating Nonlinear Business Cycle Mechanisms With Linear VARs : A Monte Carlo Study
Kohler, Karsten - 2020
Recent macroeconomic research has revived the idea of nonlinear endogenous business and financial cycles. This paper investigates how well linear vector-autoregressions (VARs) identify endogenous cycle mechanisms and cycle frequencies when the underlying process is a nonlinear limit cycle. We...
Persistent link: https://www.econbiz.de/10012839233
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Minimum Distance Estimation and Testing of DSGE Models from Structural VARs
Fève, Patrick; Matheron, Julien; Sahuc, Jean-Guillaume - 2010
The aim of this paper is to complement the MDE-SVAR approach when the weighting matrix is not optimal. In empirical studies, this choice is motivated by stochastic singularity or collinearity problems associated with the covariance matrix of Impulse Response Functions. Consequently, the...
Persistent link: https://www.econbiz.de/10014193921
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Implied probability kernel block bootstrap for times series moment condition models
Parente, Paulo M. D. C.; Smith, Richard J. - 2024
This article generalizes and extends the kernel block bootstrap (KBB) method of Parente and Smith (2018, 2021) to … moment conditions. KBB procedures that employ bootstrap distributions with generalised empirical likelihood implied … bootstrap distributions in the extant literature. Simulation experiments reveal that critical values arising from the empirical …
Persistent link: https://www.econbiz.de/10014520806
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Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions
Staszewska-Bystrova, Anna; Winker, Peter - 2018
investigated. The methods are based on a bootstrap algorithm that adjusts mean and skewness of the bootstrap distribution of the …
Persistent link: https://www.econbiz.de/10011803806
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Is There a Trend Break in U.S. GNP? A Macroeconomic Perspective
Kilian, Lutz - 2008
Unit root tests against trend break alternatives are based on the premise that the dating of the trend breaks coincides with major economic events with permanent effects on economic activity, such as wars and depressions. Standard economic theory, however, suggests that these events have large...
Persistent link: https://www.econbiz.de/10012770690
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Critical values for cointegration tests
MacKinnon, James G. - 2010
This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these tables are necessarily based on computer simulations, they are much more accurate than those previously available. The results of the simulation experiments are summarized by...
Persistent link: https://www.econbiz.de/10003919736
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Fractional cointegration rank estimation
Lasak, Katarzyna; Velasco, Carlos - 2014
We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Model. We propose a new two-step procedure which allows testing for further long-run equilibrium relations with possibly different persistence levels. The first step consists in estimating the...
Persistent link: https://www.econbiz.de/10010244531