Many economic time series are characterized by high persistence which typically requires nonstandard limit theory for inference. This paper proposes a new method for constructing confidence intervals for impulse response functions and half-lives of nearly non-stationary processes. It is based on inverting the acceptance region of the likelihood ratio statistic under a sequence of null hypotheses of possible values for the impulse response or the half-life. This paper shows the consistency of the restricted estimator of the localizing constant which ensures the validity of the asymptotic inference. The proposed method is used to study the persistence of shocks to real exchange rates. Copyright Royal Economic Socciety 2004
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 7 (2004) Issue (Month): 2 (December) Pages: 505-527 Download reference. The following formats are available: HTML
(with abstract),
plain text
(with abstract),
BibTeX,
RIS (EndNote, RefMan, ProCite),
ReDIF
For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
Related research
Keywords:
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)