Advanced Search
MyIDEAS: Login to save this article or follow this journal

Asymptotic confidence intervals for impulse responses of near-integrated processes

Contents:

Author Info

  • Nikolay Gospodinov

Abstract

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

If you experience problems downloading a file, check if you have the proper application to view it first. 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.
File URL: http://www.blackwell-synergy.com/servlet/useragent?func=synergy&synergyAction=showTOC&journalCode=ectj&volume=7&issue=2&year=2004&part=null
File Function: link to full text
Download Restriction: Access to full text is restricted to subscribers.

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.

Bibliographic Info

Article provided by Royal Economic Society in its journal The Econometrics Journal.

Volume (Year): 7 (2004)
Issue (Month): 2 (December)
Pages: 505-527

as in new window
Handle: RePEc:ect:emjrnl:v:7:y:2004:i:2:p:505-527

Contact details of provider:
Postal: Office of the Secretary-General, School of Economics and Finance, University of St. Andrews, St. Andrews, Fife, KY16 9AL, UK
Phone: +44 1334 462479
Email:
Web page: http://www.res.org.uk/
More information through EDIRC

Order Information:
Web: http://www.ectj.org

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Kim, Jae H. & Silvapulle, Param & Hyndman, Rob J., 2007. "Half-life estimation based on the bias-corrected bootstrap: A highest density region approach," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 51(7), pages 3418-3432, April.
  2. Jayasuriya, Sisira & Kim, Jae H. & Kumar, Parmod, 2007. "International and Internal Market Integration in Indian agriculture: A study of the Indian Rice Market," 106th Seminar, October 25-27, 2007, Montpellier, France, European Association of Agricultural Economists 7935, European Association of Agricultural Economists.
  3. Kilian, Lutz & Kim, Yun Jung, 2009. "Do Local Projections Solve the Bias Problem in Impulse Response Inference?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7266, C.E.P.R. Discussion Papers.
  4. Barbara Rossi, 2013. "Exchange Rate Predictability," Working Papers 690, Barcelona Graduate School of Economics.
  5. Barbara Rossi & Elena Pesavento, 2006. "Small-sample confidence intervals for multivariate impulse response functions at long horizons," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 21(8), pages 1135-1155.
  6. Pesavento, Elena & Rossi, Barbara, 2007. "Impulse response confidence intervals for persistent data: What have we learned?," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 31(7), pages 2398-2412, July.
  7. Kim, Jae H. & Ji, Philip Inyeob, 2011. "Mean-reversion in international real interest rates," Economic Modelling, Elsevier, vol. 28(4), pages 1959-1966, July.
  8. Helmut Luetkepohl, 2011. "Vector Autoregressive Models," Economics Working Papers, European University Institute ECO2011/30, European University Institute.
  9. Sekioua, Sofiane H., 2008. "Real interest parity (RIP) over the 20th century: New evidence based on confidence intervals for the largest root and the half-life," Journal of International Money and Finance, Elsevier, Elsevier, vol. 27(1), pages 76-101, February.
  10. Carlos Usabiaga & Diego Romero-Ávila, 2012. "New Disaggregate Evidence on Spanish Inflation Persistence," EcoMod2012 3800, EcoMod.
  11. Diego Romero-�vila & Carlos Usabiaga, 2012. "Disaggregate evidence on Spanish inflation persistence," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 44(23), pages 3029-3046, August.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ect:emjrnl:v:7:y:2004:i:2:p:505-527. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.