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Citations for "Finite-Sample Properties of Percentile and Percentile-t Bootstrap Confidence Intervals for Impulse Responses"

by Lutz Kilian

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  1. Michael D. Bordo & Christopher J. Erceg & Charles L. Evans, 1997. "Money, sticky wages, and the Great Depression," International Finance Discussion Papers 591, Board of Governors of the Federal Reserve System (U.S.).
  2. Christian J. Murray & David H. Papell, 2000. "The Purchasing Power Parity Persistence Paradigm," Econometric Society World Congress 2000 Contributed Papers 0017, Econometric Society.
  3. Sun, Dongchu & Ni, Shawn, 2014. "A Bayesian analysis of normalized VAR models," Journal of Multivariate Analysis, Elsevier, vol. 124(C), pages 247-259.
  4. Eo, Yunjong & Morley, James C., 2008. "Likelihood-Based Confidence Sets for the Timing of Structural Breaks," MPRA Paper 13913, University Library of Munich, Germany.
  5. Claude Lopez & Christian J. Murray & David H. Papell, 2003. "State of the Art Unit Root Tests and the PPP Puzzle," Macroeconomics 0310009, EconWPA.
  6. Fabio Canova & David Lopez-Salido & Claudio Michelacci, 2006. "Schumpeterian technology shocks," Economics Working Papers 1012, Department of Economics and Business, Universitat Pompeu Fabra, revised Nov 2007.
  7. Tom Engsted & Thomas Q. Pedersen, 2014. "Bias-Correction in Vector Autoregressive Models: A Simulation Study," Econometrics, MDPI, Open Access Journal, vol. 2(1), pages 45-71, March.
  8. Di Iorio, Francesca & Fachin, Stefano, 2008. "A note on the estimation of long-run relationships in dependent cointegrated panels," MPRA Paper 12053, University Library of Munich, Germany.
  9. Jonas Fisher, 2004. "Technology Shocks Matter," Econometric Society 2004 North American Winter Meetings 14, Econometric Society.
  10. Di Iorio, Francesca & Fachin, Stefano, 2012. "A note on the estimation of long-run relationships in panel equations with cross-section linkages," Economics Discussion Papers 2012-1, Kiel Institute for the World Economy.
  11. Alfred A Haug & Ozer Karagedikli & Satish Ranchhoud, 2003. "Monetary policy transmission mechanisms and currency unions: A vector error correction approach to a Trans-Tasman currency union," Reserve Bank of New Zealand Discussion Paper Series DP2003/04, Reserve Bank of New Zealand.
  12. Oscar Jorda, 2007. "Inference for Impulse Responses," Working Papers 77, University of California, Davis, Department of Economics.
  13. 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.).
  14. 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.
  15. Dungey, Mardi & Fry, Renee, 2000. "A Multi-Country Structural VAR Model," Departmental Working Papers 2001-04, The Australian National University, Arndt-Corden Department of Economics.
  16. Michael S. Hanson, 2006. "Varying Monetary Policy Regimes: A Vector Autoregressive Investigation," Wesleyan Economics Working Papers 2006-003, Wesleyan University, Department of Economics.
  17. A Garratt & K Lee & M Pesaran & Yongcheol Shin, 2004. "A long run structural macroeconometric model of the UK," ESE Discussion Papers 35, Edinburgh School of Economics, University of Edinburgh.
  18. Hyeongwoo Kim & Young-Kyu Moh, 2010. "Examining the Evidence of Purchasing Power Parity by Recursive Mean Adjustment," Auburn Economics Working Paper Series auwp2010-08, Department of Economics, Auburn University.
  19. Kilian, Lutz & Kim, Yun Jung, 2009. "Do Local Projections Solve the Bias Problem in Impulse Response Inference?," CEPR Discussion Papers 7266, C.E.P.R. Discussion Papers.
  20. Atsushi Inoue & Lutz Kilian, 2014. "Joint Confidence Sets for Structural Impulse Responses," Departmental Working Papers 1401, Southern Methodist University, Department of Economics.
  21. James H. Stock & Mark W. Watson, 2001. "Vector Autoregressions," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 101-115, Fall.
  22. Fabio Canova & David López-Salido & Claudio Michelacci, 2006. "On the robust effects of technology shocks on hours worked and output," Economics Working Papers 1013, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2008.
  23. Yuriy Gorodnichenko, 2005. "Reduced-Rank Identification of Structural Shocks in VARs," Macroeconomics 0512011, EconWPA.