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The uniform validity of impulse response inference in autoregressions

Inoue, Atsushi; Kilian, Lutz - 2019

Persistent link: https://www.econbiz.de/10012033739

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

The uniform validity of impulse response inference in autoregressions

Inoue, Atsushi; Kilian, Lutz - 2019 - This version: August 11, 2019

bootstrap inference about individual impulse responses and vectors of impulse responses when the horizon is fixed with respect … (1999). The conventional bootstrap percentile interval for impulse responses based on this approach remains accurate even at …

Persistent link: https://www.econbiz.de/10012227499

Structural inference in sparse high-dimensional vector autoregressions

Krampe, Jonas; Paparoditis, Efstathios; Trenkler, Carsten - In: Journal of econometrics 234 (2023) 1, pp. 276-300

Persistent link: https://www.econbiz.de/10014364826

Fast algorithms for the quantile regression process

Chernozhukov, Victor; Fernández-Val, Iván; Melly, Blaise - In: Empirical economics : a quarterly journal of the … 62 (2022) 1, pp. 7-33

Persistent link: https://www.econbiz.de/10012819429

On the equivalence of indirect inference and bootstrap bias correction for linear IV estimators

Chau, Tak Wai - In: Economics letters 123 (2014) 3, pp. 333-335

Persistent link: https://www.econbiz.de/10010401303

Testing DSGE models by indirect inference and other methods : some Monte Carlo experiments

Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick; … - 2012

Using Monte Carlo experiments, we examine the performance of Indirect Inference tests of DSGE models, usually versions of the Smets-Wouters New Keynesian model of the US postwar period. We compare these with tests based on direct inference (using the Likelihood Ratio), and on the Del...

Persistent link: https://www.econbiz.de/10009563550

Improved inferences for spatial regression models

Liu, Shew Fan; Yang, Zhenlin - In: Regional science & urban economics 55 (2015), pp. 55-67

Persistent link: https://www.econbiz.de/10011479842

Joint confidence sets for structural impulse responses

Inoue, Atsushi; Kilian, Lutz - 2016

bootstrap, allowing the construction of asymptotically valid joint confidence sets for any subset of structural impulse …

Persistent link: https://www.econbiz.de/10011421682

Combinatorial approach to inference in partially identified incomplete structural models

Henry, Marc; Méango, Romuald; Queyranne, Maurice - In: Quantitative economics : QE ; journal of the … 6 (2015) 2, pp. 499-529

Persistent link: https://www.econbiz.de/10011343741