Bias-Correction in Vector Autoregressive Models: A Simulation Study
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- Tom Engsted & Thomas Q. Pedersen, 2011. "Bias-correction in vector autoregressive models: A simulation study," CREATES Research Papers 2011-18, Department of Economics and Business Economics, Aarhus University.
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Cited by:
- Stefan Bruder & Michael Wolf, 2018.
"Balanced Bootstrap Joint Confidence Bands for Structural Impulse Response Functions,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 39(5), pages 641-664, September.
- 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.
- Giuseppe Cavaliere & A. M. Robert Taylor & Carsten Trenkler, 2015.
"Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(5), pages 740-759, October.
- Cavaliere, Giuseppe & Taylor, A. M. Robert & Trenkler, Carsten, 2013. "Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates," Working Papers 32993, University of Mannheim, Department of Economics.
- 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.
- Tom Engsted & Thomas Q. Pedersen, 2008. "Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model," CREATES Research Papers 2008-27, Department of Economics and Business Economics, Aarhus University.
- Engsted, Tom & Hviid, Simon J. & Pedersen, Thomas Q., 2016.
"Explosive bubbles in house prices? Evidence from the OECD countries,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 14-25.
- Tom Engsted & Simon J. Hviid & Thomas Q. Pedersen, 2015. "Explosive bubbles in house prices? Evidence from the OECD countries," CREATES Research Papers 2015-01, Department of Economics and Business Economics, Aarhus University.
- Stefan Bruder, 2014. "Comparing several methods to compute joint prediction regions for path forecasts generated by vector autoregressions," ECON - Working Papers 181, Department of Economics - University of Zurich, revised Dec 2015.
- Marian Vavra, 2015. "On a Bootstrap Test for Forecast Evaluations," Working and Discussion Papers WP 5/2015, Research Department, National Bank of Slovakia.
- Hendrik Kaufmannz & Robinson Kruse, 2013. "Bias-corrected estimation in potentially mildly explosive autoregressive models," CREATES Research Papers 2013-10, Department of Economics and Business Economics, Aarhus University.
- Kruse, Robinson & Kaufmann, Hendrik & Wegener, Christoph, 2018. "Bias-corrected estimation for speculative bubbles in stock prices," Economic Modelling, Elsevier, vol. 73(C), pages 354-364.
- Juraj Hucek & Alexander Karsay & Marian Vavra, 2015. "Short-term Forecasting of Real GDP Using Monthly Data," Working and Discussion Papers OP 1/2015, Research Department, National Bank of Slovakia.
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More about this item
Keywords
bias reduction; VAR model; analytical bias formula; bootstrap; iteration; Yule-Walker; non-stationary system; skewed and fat-tailed data;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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