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Confidence intervals for impulse responses under departures from normality

Kilian, Lutz - In: Econometric reviews 17 (1998) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10001237560

Small-sample confidence intervals for impulse response functions

Kilian, Lutz - In: The review of economics and statistics 80 (1998) 2, pp. 218-230

Persistent link: https://www.econbiz.de/10001240840

Pitfalls in constructing bootstrap confidence intervals for asymptotically pivotal statistics

Kilian, Lutz - 1998 - Preliminary, version March 3, 1998

Persistent link: https://www.econbiz.de/10000993763

Exchange rates and fundamentals : what do we learn from long-horizon regressions?

Kilian, Lutz (contributor) - 1997

Persistent link: https://www.econbiz.de/10000972191

Comment on Giacomini, Kitagawa and Read's "Narrative restrictions and proxies"

Kilian, Lutz - 2021 - This version: December 2, 2021

Persistent link: https://www.econbiz.de/10013170459

Comment on giacomini, kitagawa and read's "narrative restrictions and proxies"

Kilian, Lutz - 2021

Persistent link: https://www.econbiz.de/10013188256

Recent developments in bootstrapping time series

Berkowitz, Jeremy - 1996

Persistent link: https://www.econbiz.de/10000952874

Do local projections solve the bias problem in impulse response inference?

Kilian, Lutz; Kim, Yun Jung - 2009

Persistent link: https://www.econbiz.de/10003835974

How reliable are local projection estimators of impulse responses?

Kilian, Lutz; Kim, Yun Jung - In: The review of economics and statistics 93 (2011) 4, pp. 1460-1466

Persistent link: https://www.econbiz.de/10009380965

Impulse response matching estimators for DSGE models

Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - 2016

One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response matching estimator. The existing asymptotic theory for this estimator does not cover situations in which the number of impulse response parameters exceeds the number of VAR model...

Persistent link: https://www.econbiz.de/10011418016