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Confidence bands for impulse responses : Bonferroni versus Wald ; conference paper

Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - 2014

In impulse response analysis estimation uncertainty is typically displayed by constructing bands around estimated …

Persistent link: https://www.econbiz.de/10010490641

Identification of financial and macroeconomic shocks in a VAR model of the Polish economy : a stability analysis

Ulrichs, Magdalena - In: Economics and business review 4 (2018) 1, pp. 29-43

Persistent link: https://www.econbiz.de/10011897308

Identification and estimation of non-Gaussian structural vector autoregressions

Lanne, Markku; Meitz, Mika; Saikkonen, Pentti - In: Journal of econometrics 196 (2017) 2, pp. 288-304

Persistent link: https://www.econbiz.de/10011818296

Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH

Lütkepohl, Helmut; Schlaak, Thore - 2018

Different bootstrap methods and estimation techniques for inference for structural vector autoregressive (SVAR) models …, a moving blocks bootstrap and a GARCH residual based bootstrap. Estimation is done by Gaussian maximum likelihood, a …

Persistent link: https://www.econbiz.de/10011880712

Statistical inference for independent component analysis : application to structural VAR models

Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - In: Journal of econometrics 196 (2017) 1, pp. 111-126

Persistent link: https://www.econbiz.de/10011743785

Bayesian inference on structural impulse response functions

Plagborg‐Møller, Mikkel - In: Quantitative economics : QE ; journal of the … 10 (2019) 1, pp. 145-184

I propose to estimate structural impulse responses from macroeconomic time series by doing Bayesian inference on the Structural Vector Moving Average representation of the data. This approach has two advantages over Structural Vector Autoregressions. First, it imposes prior information directly...

Persistent link: https://www.econbiz.de/10011994839

Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH

Lütkepohl, Helmut; Schlaak, Thore - 2018 - Revised version: January 29, 2019

Different bootstrap methods and estimation techniques for inference for structural vector autoregressive (SVAR) models …. Estimation is done by Gaussian maximum likelihood, a simplified procedure based on univariate GARCH estimations and a method that …

Persistent link: https://www.econbiz.de/10012041300

Linearly transforming variables in the VAR model, how does it change the impulse response?

Reusens, Peter; Croux, Christophe - In: Journal of econometric methods 7 (2018) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10011945885

Effects of idiosyncratic shocks on macroeconomic time series

Yang, Minxian - In: Empirical economics : a journal of the Institute for … 53 (2017) 4, pp. 1441-1461

Persistent link: https://www.econbiz.de/10012019377

Statistical identification in SVARs - Monte Carlo experiments and a comparative assessment of the role of economic uncertainties for the US business cycle

Herwartz, Helmut; Lange, Alexander; Maxand, Simone - 2019

sign restrictions results in estimation biases as a reflection of censored sampling from a space of covariance …

Persistent link: https://www.econbiz.de/10012027359