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Balanced bootstrap joint confidence bands for structural impulse response functions
Bruder, Stefan; Wolf, Michael - 2018
asymptotically. Such bands are based on a certain bootstrap procedure from the multiple testing literature. We compare the finite … endogenizing the lag order in our bootstrap procedure on the finite-sample properties. Furthermore, an empirical application to a …
Persistent link: https://www.econbiz.de/10011784287
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On the reliability of chow type test for parameter constancy in multivariate dynamic models
Candelon, Bertrand; Lütkepohl, Helmut - 2000
bootstrap versions of the tests have much better properties in this respect. In other words, the bootstrap can be used to size …
Persistent link: https://www.econbiz.de/10010310188
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Impulse response matching estimators for DSGE models
Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - 2016
its asymptotic distribution, and we show how this distribution can be approximated by bootstrap methods. Our analysis …
Persistent link: https://www.econbiz.de/10011418016
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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
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Bias-correction in vector autoregressive models : a simulation study
Engsted, Tom; Pedersen, Thomas Q. - In: Econometrics : open access journal 2 (2014) 1, pp. 45-71
compares very favorably to bootstrap bias-correction, both in terms of bias and mean squared error. In non-stationary models …
Persistent link: https://www.econbiz.de/10010336196
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Impulse response matching estimators for DSGE models
Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - 2014
its asymptotic distribution, and we show how this distribution can be approximated by bootstrap methods. Our methods of …
Persistent link: https://www.econbiz.de/10010437938
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Inference for structural impulse responses in SVAR-GARCH models
Bruder, Stefan - 2018
heteroskedastic SVAR-GARCH model and propose a bootstrap-based inference procedure on structural impulse responses. We compare the … finite-sample properties of our bootstrap method with those of two competing bootstrap methods via extensive Monte Carlo …
Persistent link: https://www.econbiz.de/10011817166
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Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions
Grabowski, Daniel; Staszewska-Bystrova, Anna; Winker, Peter - 2018
investigated. The methods are based on a bootstrap algorithm that adjusts mean and skewness of the bootstrap distribution of the …
Persistent link: https://www.econbiz.de/10011803806
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Measuring global macroeconomic uncertainty
Moramarco, Graziano - 2020
This paper provides new indices of global macroeconomic uncertainty and investigates the cross-country transmission of uncertainty using a global vector autoregressive (GVAR) model. The indices measure the dispersion of forecasts that results from parameter uncertainty in the GVAR. Relying on...
Persistent link: https://www.econbiz.de/10012233069
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Measuring global macroeconomic uncertainty and cross-country uncertainty spillovers
Moramarco, Graziano - In: Econometrics : open access journal 11 (2023) 1, pp. 1-29
We propose an approach for jointly measuring global macroeconomic uncertainty and bilateral spillovers of uncertainty between countries using a global vector autoregressive (GVAR) model. Over the period 2000Q1-2020Q4, our global index is able to summarize a variety of uncertainty measures, such...
Persistent link: https://www.econbiz.de/10014281497