Asymptotic distributions of impulse response functions in short panel vector autoregressions
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Stefan Bruder & Michael Wolf, 2017. "Balanced bootstrap joint confidence bands for structural impulse response functions," ECON - Working Papers 246, Department of Economics - University of Zurich, revised Jan 2018.
- Hayakawa, Kazuhiko, 2016. "Improved GMM estimation of panel VAR models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 240-264.
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- Arturas Juodis, 2013. "First Difference Transformation in Panel VAR models: Robustness, Estimation and Inference," UvA-Econometrics Working Papers 13-06, Universiteit van Amsterdam, Dept. of Econometrics.
- repec:bla:ecnote:v:46:y:2017:i:3:p:555-586 is not listed on IDEAS
More about this item
KeywordsAsymptotic distribution Bootstrap Nonorthogonalized impulse response function Orthogonalized impulse response function Panel data Vector autoregressions;
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