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Exact confidence intervals for impulse responses in a Gaussian vector autoregression. (2000). Wright, Jonathan.
In: International Finance Discussion Papers.
RePEc:fip:fedgif:682.

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  1. Can Sectoral Shifts Generate Persistent Unemployment in Real Business Cycle Models?. (2003). Mikhail, O. ; HANDA, JAGDISH ; EBERWEIN, Curtis J..
    In: Macroeconomics.
    RePEc:wpa:wuwpma:0311004.

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  2. Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form. (2002). Kilian, Lutz ; Goncalves, Silvia.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:4191.

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  3. Bootstrapping autoregressions with conditional heteroskedasticity of unknown form. (2002). Kilian, Lutz ; Goncalves, Silvia.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20020196.

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References

References cited by this document

  1. Andrews, D.W.K. (1993): Exactly Median-Unbiased Estimation of First Order Au- toregressive/Unit Root Models, Econometrica, 61, pp.139-166.

  2. Benkwitz, A., H. Lutkepohl and M.H. Neumann (2000): Problems Related to Confi- dence Intervals for Impulse Responses of Autoregressive Processes, Econometric Re- views, 19, pp.69-103.
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  3. Campbell, B. and J.M. Dufour (1997): Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter, International Economic Review, 38, pp.151-173.

  4. Doan, T.A. (1990): RATS Users Manual, VAR Econometrics, Evanston.
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  5. Fachin, S. and L. Bravetti (1996): Asymptotic Normal and Bootstrap Inference in Structural VAR Analysis, Journal of Forecasting, 15, pp.329-341.
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  6. Griffiths, W. and H. Lutkepohl (1993): Confidence Intervals for Impulse Responses from VAR Models: A Comparison of Asymptotic Theory and Simulation Approaches.
    Paper not yet in RePEc: Add citation now

  7. Hansen, B.E. (1999): The Grid Bootstrap and the Autoregressive Model, Review of Economics and Statistics, 81, pp.594-607.

  8. Kilian, L. (1998a): Small-Sample Confidence Intervals for Impulse Response Func- tions, Review of Economics and Statistics, 80, pp.218-230.

  9. Kilian, L. (1998b): Confidence Intervals for Impulse Responses Under Departures from Normality, Econometric Reviews, 17, pp.1-29.

  10. Kilian, L. (1999): Finite Sample Properties of Percentile and Percentile-t Bootstrap Confidence Intervals for Impulse Responses, Review of Economics and Statistics, 81, pp.652-660.

  11. Lfltkepohl, H. (1990): Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models, Review of Economics and Statistics, 72, pp.116-125.

  12. Lfltkepohl, H. (1996): Testing for Nonzero Impulse Responses in Vector Autoregres- sive Processes, Journal of Statistical Planning and Inference, 50, pp.1-20.
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  13. Mimeo. Hall, P. (1992): The Bootstrap and the Edgeworth Expansion, Springer-Verlag, New York.
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  14. Phillips, P.C.B. (1998), Impulse Response and Forecast Variance Asymptotics in Non- 17 stationary VARs, Journal of Econometrics, 83, 2 1-56.

  15. Runkle, D.E. (1987): Vector Autoregressions and Reality, Journal of Business and Economic Statistics, 5, pp.437-442.

  16. Sims, C.A. (1980): Macroeconomics and Reality, Econometrica, 48, pp.1.48.

  17. Sims, C.A. and T. Zha (1999): Error Bands for Impulse Responses, Econometrica, 67, pp.1113-1155.

  18. Wright, J.H. (2000): Confidence Intervals for Univariate Impulse Responses with a Near Unit Root, Journal of Business and Economic Statistics, 18, pp.368-373.

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