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Modeling tail risks of inflation using unobserved component quantile regressions

Pfarrhofer, Michael - In: Journal of economic dynamics & control 143 (2022), pp. 1-19

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Nonparametric regression approach to Bayesian estimation

Gao, Jiti; Hong, Han - 2014

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Shapley regressions : a framework for statistical inference on machine learning models

Joseph, Andreas - 2019

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Inference in vector autoregression with integrated time series

Warne, Anders - 1991

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Inference in vector autoregressions with integrated time series ; 1

Warne, Anders - 1991

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Inference for impulse responses

Jordà, Òscar (contributor) - 2007

Poor identification of individual impulse response coefficients does not necessarily mean that an impulse response is imprecisely estimated. This paper introduces a three-pronged approach on how to communicate uncertainty of impulse response estimates: (1) withWald tests of joint significance; (2)...