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Citations for "Small-Sample Confidence Intervals For Impulse Response Functions"

by Lutz Kilian

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  1. David Brownstone & Robert Valletta, 2001. "The Bootstrap and Multiple Imputations: Harnessing Increased Computing Power for Improved Statistical Tests," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 129-141, Fall.
  2. repec:ebl:ecbull:v:3:y:2005:i:44:p:1-8 is not listed on IDEAS
  3. Lopez, Claude & Murray, Chris & Papell, David, 2009. "Median-Unbiased Estimation in DF-GLS Regressions and the PPP Puzzle," MPRA Paper 26091, University Library of Munich, Germany.
  4. Fabio Canova & Matthias Paustian, 2007. "Business cycle measurement with some theory," Economics Working Papers 1203, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2011.
  5. Helge Berger & Ulrich Woitek, . "Does Conservatism Matter? A Time Series Approach to Central Banking," Working Papers 9814, Business School - Economics, University of Glasgow, revised May 1999.
  6. Ard Reijer & Peter Vlaar, 2006. "Forecasting Inflation: An Art as Well as a Science!," De Economist, Springer, vol. 154(1), pages 19-40, 03.
  7. Pesavento, Elena & Rossi, Barbara, 2007. "Impulse response confidence intervals for persistent data: What have we learned?," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2398-2412, July.
  8. DUFOUR, Jean-Marie & JOUINI, Tarek, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," Cahiers de recherche 16-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  9. Jörn Tenhofen & Guntram B. Wolff & Kirsten H. Heppke-Falk, 2010. "The Macroeconomic Effects of Exogenous Fiscal Policy Shocks in Germany: A Disaggregated SVAR Analysis," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 230(3), pages 328-355, June.
  10. Yuriy Gorodnichenko, 2005. "Reduced-Rank Identification of Structural Shocks in VARs," Macroeconomics 0512011, EconWPA.
  11. Michael D. Bauer & Glenn D. Rudebusch & Jing Cynthia Wu, 2014. "Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Comment," American Economic Review, American Economic Association, vol. 104(1), pages 323-37, January.
  12. Edelstein, Paul & Kilian, Lutz, 2009. "How sensitive are consumer expenditures to retail energy prices?," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 766-779, September.
  13. Clements, Michael P. & Kim, Jae H., 2007. "Bootstrap prediction intervals for autoregressive time series," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3580-3594, April.
  14. Ralf Brüggemann, 2006. "Finite Sample Properties of Impulse Response Intervals in SVECMs with Long-Run Identifying Restrictions," SFB 649 Discussion Papers SFB649DP2006-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  15. Robert B. Barsky & Eric R. Sims, 2012. "Information, Animal Spirits, and the Meaning of Innovations in Consumer Confidence," American Economic Review, American Economic Association, vol. 102(4), pages 1343-77, June.
  16. Forni, Mario & Lippi, Marco & Reichlin, Lucrezia, 2003. "Opening the Black Box: Structural Factor Models versus Structural VARs," CEPR Discussion Papers 4133, C.E.P.R. Discussion Papers.
  17. Boivin, Jean & Giannoni, Marc, 2006. "Has Monetary Policy Become More Effective?," CEPR Discussion Papers 5463, C.E.P.R. Discussion Papers.
  18. Konstantins Benkovskis & Andrejs Bessonovs & Martin Feldkircher & Julia Wörz, 2011. "The Transmission of Euro Area Monetary Shocks to the Czech Republic, Poland and Hungary: Evidence from a FAVAR Model," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 3.
  19. Marc P. Giannoni & Michael Woodford, 2003. "Optimal Inflation Targeting Rules," NBER Working Papers 9939, National Bureau of Economic Research, Inc.
  20. Geweke, John F. & Horowitz, Joel L. & Pesaran, M. Hashem, 2006. "Econometrics: A Bird's Eye View," IZA Discussion Papers 2458, Institute for the Study of Labor (IZA).
  21. Marina Tkalec, 2013. "The Dynamics of Deposit Euroization in European Post-Transition Countries: Evidence from Threshold VAR," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1.
  22. Oscar Jorda, 2007. "Inference for Impulse Responses," Working Papers 77, University of California, Davis, Department of Economics.
  23. Eric Sims & Ruediger Bachmann, 2011. "Confidence and the Transmission of Government Spending Shocks," 2011 Meeting Papers 83, Society for Economic Dynamics.
  24. Jarociński, Marek & Marcet, Albert, 2010. "Autoregressions in small samples, priors about observables and initial conditions," Working Paper Series 1263, European Central Bank.
  25. Beatriz de-Blas-Pérez, 2005. "Exchange rate dynamics in economies with portfolio rigidities," Banco de Espa�a Working Papers 0532, Banco de Espa�a.
  26. Stephane Dees & Arthur Saint-Guilhem, 2011. "The role of the United States in the global economy and its evolution over time," Empirical Economics, Springer, vol. 41(3), pages 573-591, December.
  27. Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2014. "Confidence Bands for Impulse Responses: Bonferroni versus Wald," Discussion Papers of DIW Berlin 1354, DIW Berlin, German Institute for Economic Research.
  28. Edelstein Paul & Kilian Lutz, 2007. "The Response of Business Fixed Investment to Changes in Energy Prices: A Test of Some Hypotheses about the Transmission of Energy Price Shocks," The B.E. Journal of Macroeconomics, De Gruyter, vol. 7(1), pages 1-41, November.
  29. Bruce E. Hansen, 1999. "The Grid Bootstrap And The Autoregressive Model," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 594-607, November.
  30. João Sousa Andrade & Adelaide Duarte, 2011. "The Fundamentals of the Portuguese Crisis," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 58(2), pages 195-218, June.
  31. Anna Staszewska‐Bystrova, 2011. "Bootstrap prediction bands for forecast paths from vector autoregressive models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(8), pages 721-735, December.
  32. Charlotta Groth & Jarkko Jääskelä & Paolo Surico, 2006. "Fundamental inflation uncertainty," Bank of England working papers 309, Bank of England.
  33. Gorodnichenko, Yuriy & Shapiro, Matthew D., 2007. "Monetary policy when potential output is uncertain: Understanding the growth gamble of the 1990s," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1132-1162, May.
  34. Canzoneri, Matthew B. & Cumby, Robert E. & Diba, Behzad T., 2007. "Euler equations and money market interest rates: A challenge for monetary policy models," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 1863-1881, October.
  35. Michael D. Bauer & Glenn D. Rudebusch, 2011. "The signaling channel for Federal Reserve bond purchases," Working Paper Series 2011-21, Federal Reserve Bank of San Francisco.
  36. Valentina Colombo, 2013. "Economic policy uncertainty in the US: Does it matter for the Euro Area?," "Marco Fanno" Working Papers 0160, Dipartimento di Scienze Economiche "Marco Fanno".
  37. Dominique Tremblay, 2002. "Salaire réel, chocs technologiques et fluctuations économiques," Working Papers 02-42, Bank of Canada.
  38. Paul R. Bergin & Reuven Glick & Jyh-Lin Wu, 2012. "Mussa redux and conditional PPP," Working Paper Series 2012-14, Federal Reserve Bank of San Francisco.
  39. Jaime Casassus & Freddy Higuera, 2011. "Stock Return Predictability and Oil Prices," Documentos de Trabajo 406, Instituto de Economia. Pontificia Universidad Católica de Chile..
  40. Matteo Barigozzi & Antonio Conti & Matteo Luciani, 2012. "Do Euro area countries respond asymmetrically to the common monetary policy?," LSE Research Online Documents on Economics 43344, London School of Economics and Political Science, LSE Library.
  41. Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2009. "Opening The Black Box: Structural Factor Models With Large Cross Sections," Econometric Theory, Cambridge University Press, vol. 25(05), pages 1319-1347, October.
  42. Jonathan N. Millar, 2005. "Gestation lags for capital, cash flows, and Tobin's Q," Finance and Economics Discussion Series 2005-24, Board of Governors of the Federal Reserve System (U.S.).
  43. Eickmeier, Sandra, 2007. "Business cycle transmission from the US to Germany--A structural factor approach," European Economic Review, Elsevier, vol. 51(3), pages 521-551, April.
  44. repec:onb:oenbwp:y:2011:i:3:b:1 is not listed on IDEAS
  45. Garratt, A. & Lee, K. & Pesaran, M. H. & Shin, Y., 1998. "A Long-run Structural Macro-econometric Model of the UK," Cambridge Working Papers in Economics 9812, Faculty of Economics, University of Cambridge.
  46. Rangan Gupta & Alain Kabundi & Mampho P. Modise, 2009. "Has the SARB Become More Effective Post Inflation Targeting?," Working Papers 200925, University of Pretoria, Department of Economics.
  47. Roberto Tatiwa Ferreira & Ivan Castelar, 2006. "Nonlinearities And Price Puzzle In Brazil," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 163, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
    • Roberto Tatiwa Ferreira & Ivan Castelar, 2008. "Nonlinearities and Price Puzzle in Brazil," Economia, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 9(1), pages 47-62.
  48. Engsted, Tom & Pedersen, Thomas Q., 2012. "Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 241-253.
  49. Eickmeier, Sandra, 2009. "Analyse der Übertragung US-amerikanischer Schocks auf Deutschland auf Basis eines FAVAR," Discussion Paper Series 1: Economic Studies 2009,35, Deutsche Bundesbank, Research Centre.
  50. Radchenko, Stanislav, 2005. "Oil price volatility and the asymmetric response of gasoline prices to oil price increases and decreases," Energy Economics, Elsevier, vol. 27(5), pages 708-730, September.
  51. Claude Lopez & Christian J. Murray & David H. Papell, 2003. "State of the Art Unit Root Tests and the PPP Puzzle," Macroeconomics 0310009, EconWPA.
  52. Oscar Jorda, 2004. "Model-Free Impulse Responses," Macroeconomics 0403016, EconWPA.
  53. Yuriy Gorodnichenko & Linda Tesar, 2005. "A Re-Examination of the Border Effect," NBER Working Papers 11706, National Bureau of Economic Research, Inc.
  54. Adler, Johan, 2001. "From closed to open door policy: An empirical study of Chinas international capital mobility, 1958-98," Working Papers in Economics 64, University of Gothenburg, Department of Economics.
  55. Dufour, Jean-Marie & Pelletier, Denis & Renault, Eric, 2006. "Short run and long run causality in time series: inference," Journal of Econometrics, Elsevier, vol. 132(2), pages 337-362, June.
  56. James G. MacKinnon, 2007. "Bootstrap Hypothesis Testing," Working Papers 1127, Queen's University, Department of Economics.
  57. Alfredo Marvão Pereira & Rui Manuel Marvão Pereira, 2008. "Is Fuel-Switching a No-Regrets Environmental Policy? VAR Evidence on Carbon Dioxide Emissions, Energy Consumption and Economic Performance in Portugal," Economics Working Papers 05_2008, University of Évora, Department of Economics (Portugal).
  58. Jonathan H. Wright, 2000. "Exact confidence intervals for impulse responses in a Gaussian vector autoregression," International Finance Discussion Papers 682, Board of Governors of the Federal Reserve System (U.S.).
  59. Gábor Pellényi, 2012. "The Sectoral Effects of Monetary Policy in Hungary: A Structural Factor Analysis," MNB Working Papers 2012/1, Magyar Nemzeti Bank (the central bank of Hungary).
  60. Aktas, Erkan & Özenç, Çiğdem & Arıca, Feyza, 2010. "The Impact of Oil Prices in Turkey on Macroeconomics," MPRA Paper 8658, University Library of Munich, Germany, revised 15 Jun 2010.
  61. Benkwitz, Alexander & Lütkepohl, Helmut & Wolters, Jürgen, 1999. "Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems," CEPR Discussion Papers 2208, C.E.P.R. Discussion Papers.
  62. Anna Kormilitsina, 2011. "Oil Price Shocks and the Optimality of Monetary Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(1), pages 199-223, January.
  63. Jing, Li, 2009. "Bootstrap prediction intervals for threshold autoregressive models," MPRA Paper 13086, University Library of Munich, Germany.
  64. Lise Pichette & Dominique Tremblay, 2003. "Are Wealth Effects Important for Canada?," Working Papers 03-30, Bank of Canada.
  65. Robledo, Carlos W. & Zapata, Hector O., 1999. "Dynamic Analysis With Time Series Models: Simulation And Empirical Evidence," 1999 Annual meeting, August 8-11, Nashville, TN 21526, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  66. P.J.G. Vlaar & H. Schuberth, 1998. "Monetary transmission and controllability of money in Europe: a structural vector error correction approach," WO Research Memoranda (discontinued) 544, Netherlands Central Bank, Research Department.
  67. Cysne, Rubens Penha, 2005. "What Happens After the Central Bank of Brazil Increases the Target Interbank Rate by 1%?," Economics Working Papers (Ensaios Economicos da EPGE) 584, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  68. Sergio Ocampo & Norberto Rodríguez, 2011. "An Introductory Review of a Structural VAR-X Estimation and Applications," Borradores de Economia 686, Banco de la Republica de Colombia.
  69. Galvao, Ana Beatriz & Costa, Sonia, 2013. "Does the euro area forward rate provide accurate forecasts of the short rate?," International Journal of Forecasting, Elsevier, vol. 29(1), pages 131-141.
  70. Tom Engsted & Thomas Q. Pedersen, 2011. "Bias-correction in vector autoregressive models: A simulation study," CREATES Research Papers 2011-18, School of Economics and Management, University of Aarhus.
  71. Ghent, Andra C. & Hernández-Murillo, Rubén & Owyang, Michael T., 2011. "Differences in subprime loan pricing across races and neighborhoods," Working Papers 2011-033, Federal Reserve Bank of St. Louis, revised 05 Mar 2014.
  72. Jon Faust & John H. Rogers & Eric Swanson & Jonathan H. Wright, 2003. "Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data," Journal of the European Economic Association, MIT Press, vol. 1(5), pages 1031-1057, 09.
  73. Francis X. Diebold & Lutz Kilian, 1998. "Measuring Predictability: Theory and Macroeconomic Applications," Working Papers 98-16, New York University, Leonard N. Stern School of Business, Department of Economics.
  74. Lombardi, Marco J. & Osbat, Chiara & Schnatz, Bernd, 2010. "Global commodity cycles and linkages a FAVAR approach," Working Paper Series 1170, European Central Bank.
  75. Atsushi Inoue & Lutz Kilian, 2014. "Joint Confidence Sets for Structural Impulse Responses," Departmental Working Papers 1401, Southern Methodist University, Department of Economics.
  76. Shiu-Sheng Chen & Charles Engel, 2005. "Does 'Aggregation Bias' Explain The Ppp Puzzle?," Pacific Economic Review, Wiley Blackwell, vol. 10(1), pages 49-72, 02.
  77. Sandra Eickmeier & Joerg Breitung, 2005. "How Synchronized are Central and East European Economies with the Euro Area? Evidence from a Structural Factor model ," TWI Research Paper Series 14, Thurgauer Wirtschaftsinstitut, Universität Konstanz.
  78. Uhlig, H.F.H.V.S., 1999. "What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure," Discussion Paper 1999-28, Tilburg University, Center for Economic Research.
  79. van Aarle, Bas & Garretsen, Harry & Gobbin, Niko, 2003. "Monetary and fiscal policy transmission in the Euro-area: evidence from a structural VAR analysis," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 609-638.
  80. Hess Chung & Eric Leeper, 2007. "What Has Financed Government Debt?," Caepr Working Papers 2007-015, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  81. Alejandro Izquierdo & Randall Romero & Ernesto Talvi, 2008. "Booms and Busts in Latin America: The Role of External Factors," Research Department Publications 4569, Inter-American Development Bank, Research Department.
  82. Sanchez , Jose Luis Diaz & Varoudakis, Aristomene, 2013. "Growth and competitiveness as factors of Eurozone external imbalances : evidence and policy implications," Policy Research Working Paper Series 6732, The World Bank.
  83. Munir, Kashif & Qayyum, Abdul, 2012. "Measuring the effects of monetary policy in Pakistan: A factor augmented vector autoregressive approach," MPRA Paper 35976, University Library of Munich, Germany.
  84. Peter Tillmann, 2009. "The New Keynesian Phillips curve in Europe: does it fit or does it fail?," Empirical Economics, Springer, vol. 37(3), pages 463-473, December.
  85. Rushdi, Mustabshira & Kim, Jae H. & Silvapulle, Param, 2012. "ARDL bounds tests and robust inference for the long run relationship between real stock returns and inflation in Australia," Economic Modelling, Elsevier, vol. 29(3), pages 535-543.
  86. Phillips, Kerk L. & Spencer, David E., 2010. "Bootstrapping Structural VARs: Avoiding a Potential Bias in Confidence Intervals for Impulse Response Functions," MPRA Paper 23503, University Library of Munich, Germany.
  87. Kyungho Jang & Masao Ogaki, 2001. "The Effects of Monetary Policy Shocks on Exchange Rates: A Structural Vector Error Correction Model Approach," Working Papers 01-02, Ohio State University, Department of Economics.
  88. Susanto, Dwi & Zapata, Hector O. & Cramer, Gail L., 2004. "Bootstrapping In Vector Autoregressions: An Application To The Pork Sector," 2004 Annual meeting, August 1-4, Denver, CO 20051, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  89. Todd E. Clark & Michael W. McCracken, 2001. "Evaluating long-horizon forecasts," Research Working Paper RWP 01-14, Federal Reserve Bank of Kansas City.
  90. Kim, Jae H. & Wong, Kevin & Athanasopoulos, George & Liu, Shen, 2011. "Beyond point forecasting: Evaluation of alternative prediction intervals for tourist arrivals," International Journal of Forecasting, Elsevier, vol. 27(3), pages 887-901.
  91. Eickmeier, Sandra, 2006. "Comovements and heterogeneity in the Comovements and heterogeneity in the dynamic factor model," Discussion Paper Series 1: Economic Studies 2006,31, Deutsche Bundesbank, Research Centre.
  92. Charles Engel & Kenneth D. West, 2004. "Taylor Rules and the Deutschmark-Dollar Real Exchange Rate," NBER Working Papers 10995, National Bureau of Economic Research, Inc.
  93. Robert B. Barsky & Eric R. Sims, 2009. "News Shocks," NBER Working Papers 15312, National Bureau of Economic Research, Inc.
  94. Ramey, Valerie A. & Shapiro, Matthew D., 1998. "Costly capital reallocation and the effects of government spending," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 48(1), pages 145-194, June.
  95. Todd E. Clark & Michael W. McCracken, 2011. "Advances in forecast evaluation," Working Papers 2011-025, Federal Reserve Bank of St. Louis.
  96. Helmut Luetkepohl, 2011. "Vector Autoregressive Models," Economics Working Papers ECO2011/30, European University Institute.
  97. Scheffel, Eric Michael, 2012. "Political uncertainty in a data-rich environment," MPRA Paper 37318, University Library of Munich, Germany.
  98. Jae Kim, 2005. "Bias-Corrected Bootstrap Inference for Regression Models with Autocorrelated Errors," Economics Bulletin, AccessEcon, vol. 3(44), pages 1-8.
  99. Eickmeier, Sandra & Breitung, Jorg, 2006. "How synchronized are new EU member states with the euro area? Evidence from a structural factor model," Journal of Comparative Economics, Elsevier, vol. 34(3), pages 538-563, September.
  100. Jae H Kim & Iain Fraser & Rob J. Hyndman, 2010. "Improved Interval Estimation of Long Run Response from a Dynamic Linear Model: A Highest Density Region Approach," Working Papers 2010.06, School of Economics, La Trobe University.
  101. Balleer, Almut & Gehrke, Britta & Lechthaler, Wolfgang & Merkl, Christian, 2013. "Does Short-Time Work Save Jobs? A Business Cycle Analysis," IZA Discussion Papers 7475, Institute for the Study of Labor (IZA).
  102. Günter Coenen, 2005. "Asymptotic confidence bands for the estimated autocovariance and autocorrelation functions of vector autoregressive models," Empirical Economics, Springer, vol. 30(1), pages 65-75, January.
  103. Canzoneri, Matthew B & Cumby, Robert & Diba, Behzad, 1998. "Is the Price Level Determined by the Needs of Fiscal Solvency?," CEPR Discussion Papers 1772, C.E.P.R. Discussion Papers.
  104. Edelstein, Paul & Kilian, Lutz, 2007. "Retail Energy Prices and Consumer Expenditures," CEPR Discussion Papers 6255, C.E.P.R. Discussion Papers.
  105. William D. Craighead & Pao-Lin Tien, 2013. "Nominal Shocks and Real Exchange Rates: Evidence from Two Centuries," Wesleyan Economics Working Papers 2013-002, Wesleyan University, Department of Economics.
  106. Ray C. Fair, 2001. "Bootstrapping Macroeconometric Models," Cowles Foundation Discussion Papers 1345, Cowles Foundation for Research in Economics, Yale University, revised Jun 2003.
  107. Matthias Gubler & Matthias S. Hertweck, 2013. "Commodity Price Shocks and the Business Cycle: Structural Evidence for the U.S," Working Papers 2013-05, Swiss National Bank.
  108. Stanislav Radchenko, 2004. "Anticipated and unanticipated effects of crude oil prices and oil inventory changes on gasoline prices," Microeconomics 0406001, EconWPA.
  109. Christopher J. Erceg & Luca Guerrieri & Christopher Gust, 2005. "Can Long-Run Restrictions Identify Technology Shocks?," Journal of the European Economic Association, MIT Press, vol. 3(6), pages 1237-1278, December.
  110. Jonathan H. Wright, 2011. "What does Monetary Policy do to Long-Term Interest Rates at the Zero Lower Bound?," NBER Working Papers 17154, National Bureau of Economic Research, Inc.
  111. Todd E. Clark & Michael McCracken, 1999. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Computing in Economics and Finance 1999 1241, Society for Computational Economics.
  112. Sebastian Galiani & Martin Gonzalez-Rozada, 2002. "Inference and estimation in small sample dynamic panel data models," Business School Working Papers treinta, Universidad Torcuato Di Tella.
  113. Michael Wolf & Dan Wunderli, 2012. "Bootstrap joint prediction regions," ECON - Working Papers 064, Department of Economics - University of Zurich, revised May 2013.
  114. Eickmeier, Sandra, 2009. "Analyse der Übertragung US-amerikanischer Schocks auf Deutschland auf Basis eines FAVAR," Working Papers 04/2009, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung.
  115. Massimo Giuliodori, . "The Empirical Relevance of a basic sticky-price intertemporal model," Working Papers 2001_17, Business School - Economics, University of Glasgow.
  116. Dufour, Jean-Marie & Taamouti, Abderrahim, 2010. "Short and long run causality measures: Theory and inference," Journal of Econometrics, Elsevier, vol. 154(1), pages 42-58, January.
  117. Christoph Görtz & John D. Tsoukalas, 2013. "News shocks and business cycles: bridging the gap from different methodologies," Working Papers 2013_25, Business School - Economics, University of Glasgow.
  118. Jean Imbs & Haroon Mumtaz & Morten O. Ravn & Hélène Rey, 2005. ""Aggregation Bias" DOES Explain the PPP Puzzle," NBER Working Papers 11607, National Bureau of Economic Research, Inc.
  119. Mercereau, Benoît & Miniane, Jacques Alain, 2008. "Should We Trust the Empirical Evidence from Present Value Models of the Current Account?," Economics Discussion Papers 2008-10, Kiel Institute for the World Economy.
  120. Sandra Eickmeier & Boris Hofmann & Andreas Worms, 2009. "Macroeconomic Fluctuations and Bank Lending: Evidence for Germany and the Euro Area," German Economic Review, Verein für Socialpolitik, vol. 10, pages 193-223, 05.
  121. Lawrence J. Christiano & Terry J. Fitzgerald, 2003. "Inflation and monetary policy in the twentieth century," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q I, pages 22-45.
  122. Kim, Jae H., 2003. "Forecasting autoregressive time series with bias-corrected parameter estimators," International Journal of Forecasting, Elsevier, vol. 19(3), pages 493-502.
  123. Alejandro Izquierdo & Randall Romero & Ernesto Talvi, 2008. "Bonanza y crisis en América Latina: El papel de los factores externos," Research Department Publications 4570, Inter-American Development Bank, Research Department.
  124. Michael D. Bauer & Glenn D. Rudebusch & Jing (Cynthia) Wu, 2011. "Unbiased estimate of dynamic term structure models," Working Paper Series 2011-12, Federal Reserve Bank of San Francisco.
  125. Jonas D. M. Fisher, 2002. "Technology shocks matter," Working Paper Series WP-02-14, Federal Reserve Bank of Chicago.
  126. Sandra Eickmeier, 2009. "Comovements and heterogeneity in the euro area analyzed in a non-stationary dynamic factor model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 933-959.
  127. Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008. "Carry Trades and Currency Crashes," NBER Working Papers 14473, National Bureau of Economic Research, Inc.
  128. João Sousa Andrade & António Portugal Duarte, 2011. "The Portuguese Public Finances and the Spanish Horse," GEMF Working Papers 2011-21, GEMF - Faculdade de Economia, Universidade de Coimbra.
  129. Barsky, Robert B. & Sims, Eric R., 2011. "News shocks and business cycles," Journal of Monetary Economics, Elsevier, vol. 58(3), pages 273-289.
  130. Jean Boivin & Marc P. Giannoni & Benoît Mojon, 2009. "How Has the Euro Changed the Monetary Transmission Mechanism?," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 77-125 National Bureau of Economic Research, Inc.
  131. Monika Blaszkiewicz-Schwartzman, 2007. "Explaining Exchange Rate Movements in New Member States of the European Union: Nominal and Real Convergence," Money Macro and Finance (MMF) Research Group Conference 2006 144, Money Macro and Finance Research Group.
  132. Liu, Shen & Maharaj, Elizabeth Ann & Inder, Brett, 2014. "Polarization of forecast densities: A new approach to time series classification," Computational Statistics & Data Analysis, Elsevier, vol. 70(C), pages 345-361.
  133. Busetti, Fabio & Marcucci, Juri, 2013. "Comparing forecast accuracy: A Monte Carlo investigation," International Journal of Forecasting, Elsevier, vol. 29(1), pages 13-27.
  134. Roberta Fiori & Simonetta Iannotti, 2010. "On the interaction between market and credit risk: a factor-augmented vector autoregressive (FAVAR) approach," Temi di discussione (Economic working papers) 779, Bank of Italy, Economic Research and International Relations Area.
  135. Jae Kim & Mahbuba Yeasmin, 2005. "The Size and Power of the Bias-Corrected Bootstrap Test for Regression Models with Autocorrelated Errors," Computational Economics, Society for Computational Economics, vol. 25(3), pages 255-267, June.
  136. Murray, Christian J. & Papell, David H., 2002. "The purchasing power parity persistence paradigm," Journal of International Economics, Elsevier, vol. 56(1), pages 1-19, January.
  137. Felices, Guillermo & Grisse, Christian & Yang, Jing, 2009. "International financial transmission: emerging and mature markets," Bank of England working papers 373, Bank of England.
  138. Jonathan H. Wright, 2003. "Bayesian Model Averaging and exchange rate forecasts," International Finance Discussion Papers 779, Board of Governors of the Federal Reserve System (U.S.).
  139. Sylvain Leduc & Keith Sill & Tom Stark, 2002. "Self-fulfilling expectations and the inflation of the 1970s: evidence from the Livingston Survey," Working Papers 02-13, Federal Reserve Bank of Philadelphia.
  140. 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, vol. 51(7), pages 3418-3432, April.
  141. Rangan Gupta & Marius Jurgilas & Alain Kabundi, 2009. "The Effect Of Monetary Policy On Real House Price Growth In South Africa: A Factor Augmented Vector Autoregression (Favar) Approach," Working Papers 200905, University of Pretoria, Department of Economics.
  142. Juan F. Rubio-Ramírez & Daniel F.Waggoner & Tao Zha, 2008. "Structural vector autoregressions: theory of identification and algorithms for inference," Working Paper 2008-18, Federal Reserve Bank of Atlanta.
  143. Dungey, Mardi & Pagan, Adrian, 2000. "A Structural VAR Model of the Australian Economy," The Economic Record, The Economic Society of Australia, vol. 76(235), pages 321-42, December.
  144. R?diger Bachmann & Steffen Elstner & Eric R. Sims, 2013. "Uncertainty and Economic Activity: Evidence from Business Survey Data," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(2), pages 217-49, April.
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