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How sensitive are VAR forecasts to prior hyperparameters? : an automated sensitivity analysis

Chan, Joshua; Jacobi, Liana; Zhu, Dan - 2019

Persistent link: https://www.econbiz.de/10012244156

Roth, Jonathan; Sant'Anna, Pedro H. C.; Bilinski, Alyssa; … - In: Journal of econometrics 235 (2023) 2, pp. 2218-2244

Persistent link: https://www.econbiz.de/10014471452

How sensitive are VAR forecasts to prior hyperparameters? : an automated sensitivity analysis

Chan, Joshua; Jacobi, Liana; Zhu, Dan - 2018

Persistent link: https://www.econbiz.de/10012202254

A more credible approach to parallel trends

Rambachan, Ashesh; Roth, Jonathan - In: The review of economic studies : RES 90 (2023) 5, pp. 2555-2591

Persistent link: https://www.econbiz.de/10014392027

Sensitivity to serial dependency of input processes : a robust approach

Lam, Henry - In: Management science : journal of the Institute for … 64 (2018) 3, pp. 1311-1327

Persistent link: https://www.econbiz.de/10011847235

Nonlinear innovations and impulse responses with application to VaR sensitivity

Gouriéroux, Christian; Jasiak, Joann - In: Annales d'économie et de statistique 78 (2005), pp. 1-31

Persistent link: https://www.econbiz.de/10003278419

Frequency domain principal components estimation of fractionally cointegrated processes

Morana, Claudio - 2004

In this paper we study the zero frequency spectral properties of fractionally cointegrated long memory processes and introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the long memory factors. We find that for fractionally...

Persistent link: https://www.econbiz.de/10009636544