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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. Claude Lopez & Christian J. Murray & David H. Papell, 2008. "Median-Unbiased Estimation in DF-GLS Regressions and the PPP Puzzle," University of Cincinnati, Economics Working Papers Series, University of Cincinnati, Department of Economics 2008-05, University of Cincinnati, Department of Economics, revised 2008.
  2. Eo, Yunjong & Morley, James C., 2008. "Likelihood-Based Confidence Sets for the Timing of Structural Breaks," MPRA Paper 10372, University Library of Munich, Germany.
  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. 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.
  5. Di Iorio, Francesca & Fachin, Stefano, 2012. "A note on the estimation of long-run relationships in panel equations with cross-section linkages," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, Kiel Institute for the World Economy, vol. 6(20), pages 1-18.
  6. Hyeongwoo Kim & Young-Kyu Moh, 2010. "Examining the Evidence of Purchasing Power Parity by Recursive Mean Adjustment," Auburn Economics Working Paper Series, Department of Economics, Auburn University auwp2010-08, Department of Economics, Auburn University.
  7. Claude Lopez & Christian J. Murray & David H. Papell, 2004. "State of the Art Unit Root Tests and Purchasing Power Parity," University of Cincinnati, Economics Working Papers Series, University of Cincinnati, Department of Economics 2004-04, University of Cincinnati, Department of Economics.
  8. Fabio Canova & David Lopez-Salido & Claudio Michelacci, 2006. "Schumpeterian technology shocks," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 1012, Department of Economics and Business, Universitat Pompeu Fabra, revised Nov 2007.
  9. Dungey, Mardi & Fry, Renee, 2000. "A Multi-Country Structural VAR Model," Departmental Working Papers, The Australian National University, Arndt-Corden Department of Economics 2001-04, The Australian National University, Arndt-Corden Department of Economics.
  10. Michael S. Hanson, 2006. "Varying Monetary Policy Regimes: A Vector Autoregressive Investigation," Wesleyan Economics Working Papers, Wesleyan University, Department of Economics 2006-003, Wesleyan University, Department of Economics.
  11. Nankervis, John C., 2005. "Computational algorithms for double bootstrap confidence intervals," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 49(2), pages 461-475, April.
  12. James H. Stock & Mark W. Watson, 2001. "Vector Autoregressions," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 15(4), pages 101-115, Fall.
  13. Fabio Canova & David López-Salido & Claudio Michelacci, 2006. "On the robust effects of technology shocks on hours worked and output," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 1013, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2008.
  14. 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.
  15. Christopher J. Erceg & Michael D. Bordo & Charles L. Evans, 2000. "Money, Sticky Wages, and the Great Depression," American Economic Review, American Economic Association, American Economic Association, vol. 90(5), pages 1447-1463, December.
  16. 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.
  17. Sun, Dongchu & Ni, Shawn, 2014. "A Bayesian analysis of normalized VAR models," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 124(C), pages 247-259.
  18. Yuriy Gorodnichenko, 2005. "Reduced-Rank Identification of Structural Shocks in VARs," Macroeconomics, EconWPA 0512011, EconWPA.
  19. Brüggemann, Ralf & Jentsch, Carsten & Trenkler, Carsten, 2014. "Inference in VARs with Conditional Heteroskedasticity of Unknown Form," Working Papers, University of Mannheim, Department of Economics 14-21, University of Mannheim, Department of Economics.
  20. Jonathan H. Wright, 2000. "Exact confidence intervals for impulse responses in a Gaussian vector autoregression," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 682, Board of Governors of the Federal Reserve System (U.S.).
  21. Kilian, Lutz & Chang, Pao-Li, 2000. "How accurate are confidence intervals for impulse responses in large VAR models?," Economics Letters, Elsevier, Elsevier, vol. 69(3), pages 299-307, December.
  22. Jonas D. M. Fisher, 2002. "Technology shocks matter," Working Paper Series, Federal Reserve Bank of Chicago WP-02-14, Federal Reserve Bank of Chicago.
  23. Anthony Garratt & Kevin Lee & M. Hashem Pesaran & Yongcheol Shin, 2003. "A Long run structural macroeconometric model of the UK," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 113(487), pages 412-455, 04.
  24. Haug, Alfred A. & Karagedikli, Ozer & Ranchhod, Satish, 2005. "Monetary policy transmission mechanisms and currency unions: A vector error correction approach to a Trans-Tasman currency union," Journal of Policy Modeling, Elsevier, Elsevier, vol. 27(1), pages 55-74, February.
  25. Murray, Christian J. & Papell, David H., 2002. "The purchasing power parity persistence paradigm," Journal of International Economics, Elsevier, Elsevier, vol. 56(1), pages 1-19, January.
  26. repec:pra:mprapa:13913 is not listed on IDEAS
  27. Oscar Jorda, 2007. "Inference for Impulse Responses," Working Papers, University of California, Davis, Department of Economics 77, University of California, Davis, Department of Economics.
  28. Inoue, Atsushi & Kilian, Lutz, 2014. "Joint Confidence Sets for Structural Impulse Responses," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9892, C.E.P.R. Discussion Papers.
  29. repec:ebl:ecbull:v:3:y:2002:i:19:p:1-8 is not listed on IDEAS