Anna Staszewska-Bystrova
Personal Details
First Name: | Anna |
Middle Name: | |
Last Name: | Staszewska-Bystrova |
Suffix: | |
RePEc Short-ID: | pst268 |
[This author has chosen not to make the email address public] | |
Affiliation
Katedra Modeli i Prognoz Ekonometrycznych
Wydział Ekonomiczno-Socjologiczny
Uniwersytet Łódzki
Łódź, Polandhttp://www.econometrics.uni.lodz.pl/
RePEc:edi:kmlodpl (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2018.
"Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions,"
Lodz Economics Working Papers
1/2018, University of Lodz, Faculty of Economics and Sociology.
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2020. "Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(1), pages 5-32, March.
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2018. "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," MAGKS Papers on Economics 201810, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Grabowski, Daniel & Staszewska-Bystrova, Anna, 2018. "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181590, Verein für Socialpolitik / German Economic Association.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2018.
"Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review,"
Lodz Economics Working Papers
4/2018, University of Lodz, Faculty of Economics and Sociology.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2020. "Constructing joint confidence bands for impulse response functions of VAR models – A review," Econometrics and Statistics, Elsevier, vol. 13(C), pages 69-83.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018. "Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review," Discussion Papers of DIW Berlin 1762, DIW Berlin, German Institute for Economic Research.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2017.
"Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions,"
Discussion Papers of DIW Berlin
1642, DIW Berlin, German Institute for Economic Research.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018. "Estimation of structural impulse responses: short-run versus long-run identifying restrictions," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 102(2), pages 229-244, April.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2017. "Estimation of Structural Impulse Responses: Short-Run versus Long-run Identifying Restrictions," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168061, Verein für Socialpolitik / German Economic Association.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2016.
"Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions,"
Discussion Papers of DIW Berlin
1564, DIW Berlin, German Institute for Economic Research.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018. "Calculating joint confidence bands for impulse response functions using highest density regions," Empirical Economics, Springer, vol. 55(4), pages 1389-1411, December.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2016. "Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions," SFB 649 Discussion Papers SFB649DP2016-017, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2016. "Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions," MAGKS Papers on Economics 201616, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Winker, Peter & Lütkepohl, Helmut & Staszewska-Bystrova, Anna, 2016. "Calculating Joint Bands for Impulse Response Functions using Highest Density Regions," VfS Annual Conference 2016 (Augsburg): Demographic Change 145537, Verein für Socialpolitik / German Economic Association.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2014.
"Confidence Bands for Impulse Responses: Bonferroni versus Wald,"
CESifo Working Paper Series
4634, CESifo.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2014. "Confidence Bands for Impulse Responses: Bonferroni versus Wald," SFB 649 Discussion Papers SFB649DP2014-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- 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.
- Winker, Peter & Helmut, Lütkepohl & Staszewska-Bystrova, Anna, 2014. "Confidence Bands for Impulse Responses: Bonferroni versus Wald," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100597, Verein für Socialpolitik / German Economic Association.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013.
"Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions,"
Discussion Papers of DIW Berlin
1292, DIW Berlin, German Institute for Economic Research.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2015. "Comparison of methods for constructing joint confidence bands for impulse response functions," International Journal of Forecasting, Elsevier, vol. 31(3), pages 782-798.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013. "Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions," SFB 649 Discussion Papers SFB649DP2013-031, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013. "Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions," MAGKS Papers on Economics 201325, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Anna Staszewska-Bystrova, 2009. "Bootstrap Confidence Bands for Forecast Paths," Working Papers 024, COMISEF.
- Anna Staszewska, 2006.
"Representing Uncertainty about Response Paths: the Use of Heuristic Optimisation Methods,"
Computing in Economics and Finance 2006
379, Society for Computational Economics.
- Staszewska, Anna, 2007. "Representing uncertainty about response paths: The use of heuristic optimisation methods," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 121-132, September.
- John Aldrich & Anna Staszewska, 2006.
"The experiment in macroeconometrics,"
Working Papers
12, Department of Applied Econometrics, Warsaw School of Economics.
- John Aldrich & Anna Staszewska, 2007. "The experiment in macroeconometrics," Journal of Economic Methodology, Taylor & Francis Journals, vol. 14(2), pages 143-166.
Articles
- Bystrov Victor & Naboka Viktoriia & Winker Peter & Staszewska-Bystrova Anna, 2022. "Cross-Corpora Comparisons of Topics and Topic Trends," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 242(4), pages 433-469, August.
- Anna Staszewska-Bystrova & Victor Bystrov, 2022. "The Evolution of Fiscal Policy and Public Debt Dynamics: The Case of Sweden," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 3, pages 67-83.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2020.
"Constructing joint confidence bands for impulse response functions of VAR models – A review,"
Econometrics and Statistics, Elsevier, vol. 13(C), pages 69-83.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2018. "Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review," Lodz Economics Working Papers 4/2018, University of Lodz, Faculty of Economics and Sociology.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018. "Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review," Discussion Papers of DIW Berlin 1762, DIW Berlin, German Institute for Economic Research.
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2020.
"Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions,"
AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(1), pages 5-32, March.
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2018. "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," MAGKS Papers on Economics 201810, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2018. "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," Lodz Economics Working Papers 1/2018, University of Lodz, Faculty of Economics and Sociology.
- Grabowski, Daniel & Staszewska-Bystrova, Anna, 2018. "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181590, Verein für Socialpolitik / German Economic Association.
- Wojciech Grabowski & Anna Staszewska-Bystrova, 2020. "The Role of Public Support for Innovativeness in SMEs Across European Countries and Sectors of Economic Activity," Sustainability, MDPI, vol. 12(10), pages 1-19, May.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018.
"Calculating joint confidence bands for impulse response functions using highest density regions,"
Empirical Economics, Springer, vol. 55(4), pages 1389-1411, December.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2016. "Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions," SFB 649 Discussion Papers SFB649DP2016-017, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2016. "Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions," Discussion Papers of DIW Berlin 1564, DIW Berlin, German Institute for Economic Research.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2016. "Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions," MAGKS Papers on Economics 201616, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018.
"Estimation of structural impulse responses: short-run versus long-run identifying restrictions,"
AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 102(2), pages 229-244, April.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2017. "Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions," Discussion Papers of DIW Berlin 1642, DIW Berlin, German Institute for Economic Research.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2017. "Estimation of Structural Impulse Responses: Short-Run versus Long-run Identifying Restrictions," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168061, Verein für Socialpolitik / German Economic Association.
- Grabowski Daniel & Staszewska-Bystrova Anna & Winker Peter, 2017. "Generating prediction bands for path forecasts from SETAR models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(5), pages 1-18, December.
- Anna Staszewska-Bystrova & Peter Winker, 2016. "Improved bootstrap prediction intervals for SETAR models," Statistical Papers, Springer, vol. 57(1), pages 89-98, March.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2015. "Confidence Bands for Impulse Responses: Bonferroni vs. Wald," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(6), pages 800-821, December.
- Bystrov, Victor & Staszewska-Bystrova, Anna & Rutkowski, Daniel & Hermanowski, Tomasz, 2015. "Effects of DRG-based hospital payment in Poland on treatment of patients with stroke," Health Policy, Elsevier, vol. 119(8), pages 1119-1125.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2015.
"Comparison of methods for constructing joint confidence bands for impulse response functions,"
International Journal of Forecasting, Elsevier, vol. 31(3), pages 782-798.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013. "Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions," SFB 649 Discussion Papers SFB649DP2013-031, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013. "Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions," MAGKS Papers on Economics 201325, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013. "Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions," Discussion Papers of DIW Berlin 1292, DIW Berlin, German Institute for Economic Research.
- Anna Staszewska-Bystrova & Peter Winker, 2014. "Measuring Forecast Uncertainty of Corporate Bond Spreads by Bonferroni-Type Prediction Bands," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 6(2), pages 89-104, June.
- Staszewska-Bystrova, Anna & Winker, Peter, 2013. "Constructing narrowest pathwise bootstrap prediction bands using threshold accepting," International Journal of Forecasting, Elsevier, vol. 29(2), pages 221-233.
- Staszewska-Bystrova Anna, 2013. "Modified Scheffé’s Prediction Bands," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 233(5-6), pages 680-690, October.
- 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.
- Victor Bystrov & Anna Staszewska-Bystrova, 2010. "On the power of direct tests for rational expectations against the alternative of constant gain learning," Bank i Kredyt, Narodowy Bank Polski, vol. 41(6), pages 71-84.
- John Aldrich & Anna Staszewska, 2007.
"The experiment in macroeconometrics,"
Journal of Economic Methodology, Taylor & Francis Journals, vol. 14(2), pages 143-166.
- John Aldrich & Anna Staszewska, 2006. "The experiment in macroeconometrics," Working Papers 12, Department of Applied Econometrics, Warsaw School of Economics.
- Staszewska, Anna, 2007.
"Representing uncertainty about response paths: The use of heuristic optimisation methods,"
Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 121-132, September.
- Anna Staszewska, 2006. "Representing Uncertainty about Response Paths: the Use of Heuristic Optimisation Methods," Computing in Economics and Finance 2006 379, Society for Computational Economics.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2018.
"Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review,"
Lodz Economics Working Papers
4/2018, University of Lodz, Faculty of Economics and Sociology.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2020. "Constructing joint confidence bands for impulse response functions of VAR models – A review," Econometrics and Statistics, Elsevier, vol. 13(C), pages 69-83.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018. "Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review," Discussion Papers of DIW Berlin 1762, DIW Berlin, German Institute for Economic Research.
Cited by:
- Kilian, Lutz & Inoue, Atsushi, 2020.
"The Role of the Prior in Estimating VAR Models with Sign Restrictions,"
CEPR Discussion Papers
15545, C.E.P.R. Discussion Papers.
- Inoue, Atsushi & Kilian, Lutz, 2021. "The role of the prior in estimating VAR models with sign restrictions," CFS Working Paper Series 660, Center for Financial Studies (CFS).
- Atsushi Inoue & Lutz Kilian, 2020. "The Role of the Prior in Estimating VAR Models with Sign Restrictions," Working Papers 2030, Federal Reserve Bank of Dallas.
- Atsushi Inoue & Lutz Kilian, 2020.
"Joint Bayesian Inference about Impulse Responses in VAR Models,"
Working Papers
2022, Federal Reserve Bank of Dallas.
- Inoue, Atsushi & Kilian, Lutz, 2022. "Joint Bayesian inference about impulse responses in VAR models," Journal of Econometrics, Elsevier, vol. 231(2), pages 457-476.
- Inoue, Atsushi & Kilian, Lutz, 2020. "Joint Bayesian inference about impulse responses in VAR models," CFS Working Paper Series 650, Center for Financial Studies (CFS).
- Winker, Peter, 2023. "Visualizing Topic Uncertainty in Topic Modelling," VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage" 277584, Verein für Socialpolitik / German Economic Association.
- Diego Fresoli, 2022. "Bootstrap VAR forecasts: The effect of model uncertainties," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 279-293, March.
- Yukang Jiang & Xueqin Wang & Zhixi Xiong & Haisheng Yang & Ting Tian, 2022. "Interpreting and predicting the economy flows: A time-varying parameter global vector autoregressive integrated the machine learning model," Papers 2209.05998, arXiv.org.
- Ye, Li & Yang, Deling & Dang, Yaoguo & Wang, Junjie, 2022. "An enhanced multivariable dynamic time-delay discrete grey forecasting model for predicting China's carbon emissions," Energy, Elsevier, vol. 249(C).
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2017.
"Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions,"
Discussion Papers of DIW Berlin
1642, DIW Berlin, German Institute for Economic Research.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018. "Estimation of structural impulse responses: short-run versus long-run identifying restrictions," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 102(2), pages 229-244, April.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2017. "Estimation of Structural Impulse Responses: Short-Run versus Long-run Identifying Restrictions," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168061, Verein für Socialpolitik / German Economic Association.
Cited by:
- S. S. Abere & T. O. Akinbobola, 2020. "External Shocks, Institutional Quality, and Macroeconomic Performance in Nigeria," SAGE Open, , vol. 10(2), pages 21582440209, May.
- Barbieri Góes, Maria Cristina & Deleidi, Matteo, 2022. "Output determination and autonomous demand multipliers: An empirical investigation for the US economy," Economic Modelling, Elsevier, vol. 116(C).
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2016.
"Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions,"
Discussion Papers of DIW Berlin
1564, DIW Berlin, German Institute for Economic Research.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018. "Calculating joint confidence bands for impulse response functions using highest density regions," Empirical Economics, Springer, vol. 55(4), pages 1389-1411, December.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2016. "Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions," SFB 649 Discussion Papers SFB649DP2016-017, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2016. "Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions," MAGKS Papers on Economics 201616, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
Cited by:
- Kilian, Lutz & Inoue, Atsushi, 2020.
"The Role of the Prior in Estimating VAR Models with Sign Restrictions,"
CEPR Discussion Papers
15545, C.E.P.R. Discussion Papers.
- Inoue, Atsushi & Kilian, Lutz, 2021. "The role of the prior in estimating VAR models with sign restrictions," CFS Working Paper Series 660, Center for Financial Studies (CFS).
- Atsushi Inoue & Lutz Kilian, 2020. "The Role of the Prior in Estimating VAR Models with Sign Restrictions," Working Papers 2030, Federal Reserve Bank of Dallas.
- Jonas E. Arias & Juan F. Rubio-Ramirez & Daniel F. Waggoner, 2020.
"Uniform Priors for Impulse Responses,"
Working Papers
22-30, Federal Reserve Bank of Philadelphia.
- Jonas E. Arias & Juan F. Rubio-Ramirez & Daniel F. Waggoner, 2023. "Uniform Priors for Impulse Responses," FRB Atlanta Working Paper 2023-13, Federal Reserve Bank of Atlanta.
- Mardi Dungey & Denise R. Osborn, 2020.
"The Gains from Catch‐up for China and the USA: An Empirical Framework,"
The Economic Record, The Economic Society of Australia, vol. 96(314), pages 350-365, September.
- Mardi Dungey & Denise R. Osborn, 2019. "The gains from catch-up for China and the US: An empirical framework," CAMA Working Papers 2019-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Atsushi Inoue & Lutz Kilian, 2020.
"Joint Bayesian Inference about Impulse Responses in VAR Models,"
Working Papers
2022, Federal Reserve Bank of Dallas.
- Inoue, Atsushi & Kilian, Lutz, 2022. "Joint Bayesian inference about impulse responses in VAR models," Journal of Econometrics, Elsevier, vol. 231(2), pages 457-476.
- Inoue, Atsushi & Kilian, Lutz, 2020. "Joint Bayesian inference about impulse responses in VAR models," CFS Working Paper Series 650, Center for Financial Studies (CFS).
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018.
"Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review,"
Discussion Papers of DIW Berlin
1762, DIW Berlin, German Institute for Economic Research.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2020. "Constructing joint confidence bands for impulse response functions of VAR models – A review," Econometrics and Statistics, Elsevier, vol. 13(C), pages 69-83.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2018. "Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review," Lodz Economics Working Papers 4/2018, University of Lodz, Faculty of Economics and Sociology.
- Atsushi Inoue & Lutz Kilian, 2019.
"The uniform validity of impulse response inference in autoregressions,"
Vanderbilt University Department of Economics Working Papers
19-00001, Vanderbilt University Department of Economics.
- Inoue, Atsushi & Kilian, Lutz, 2020. "The uniform validity of impulse response inference in autoregressions," Journal of Econometrics, Elsevier, vol. 215(2), pages 450-472.
- Atsushi Inoue & Lutz Kilian, 2019. "The Uniform Validity of Impulse Response Inference in Autoregressions," Working Papers 1908, Federal Reserve Bank of Dallas.
- Atsushi Inoue & Lutz Kilian, 2019. "The uniform validity of impulse response inference in autoregressions," Vanderbilt University Department of Economics Working Papers 19-00001, Vanderbilt University Department of Economics.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2014.
"Confidence Bands for Impulse Responses: Bonferroni versus Wald,"
CESifo Working Paper Series
4634, CESifo.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2014. "Confidence Bands for Impulse Responses: Bonferroni versus Wald," SFB 649 Discussion Papers SFB649DP2014-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- 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.
- Winker, Peter & Helmut, Lütkepohl & Staszewska-Bystrova, Anna, 2014. "Confidence Bands for Impulse Responses: Bonferroni versus Wald," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100597, Verein für Socialpolitik / German Economic Association.
Cited by:
- Anna Staszewska-Bystrova & Peter Winker, 2014. "Measuring Forecast Uncertainty of Corporate Bond Spreads by Bonferroni-Type Prediction Bands," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 6(2), pages 89-104, June.
- Inoue, Atsushi & Kilian, Lutz, 2016.
"Joint confidence sets for structural impulse responses,"
Journal of Econometrics, Elsevier, vol. 192(2), pages 421-432.
- Atsushi Inoue & Lutz Kilian, 2016. "Joint Confidence Sets for Structural Impulse Responses," CESifo Working Paper Series 5746, CESifo.
- Atsushi Inoue & Lutz Kilian, 2014. "Joint Confidence Sets for Structural Impulse Responses," Departmental Working Papers 1401, Southern Methodist University, Department of Economics.
- Kilian, Lutz & Inoue, Atsushi, 2014. "Joint Confidence Sets for Structural Impulse Responses," CEPR Discussion Papers 9892, C.E.P.R. Discussion Papers.
- Neil Kellard & Denise Osborn & Jerry Coakley & Simone D. Grose & Gael M. Martin & Donald S. Poskitt, 2015.
"Bias Correction of Persistence Measures in Fractionally Integrated Models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 721-740, September.
- Simone D. Grose & Gael M. Martin & Donald S. Poskitt, 2013. "Bias Correction of Persistence Measures in Fractionally Integrated Models," Monash Econometrics and Business Statistics Working Papers 29/13, Monash University, Department of Econometrics and Business Statistics.
- Simone D. Grose & Gael M. Martin & D.S. Poskitt, 2014. "Bias Correction of Persistence Measures in Fractionally Integrated Models," Monash Econometrics and Business Statistics Working Papers 19/14, Monash University, Department of Econometrics and Business Statistics.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018.
"Calculating joint confidence bands for impulse response functions using highest density regions,"
Empirical Economics, Springer, vol. 55(4), pages 1389-1411, December.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2016. "Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions," SFB 649 Discussion Papers SFB649DP2016-017, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2016. "Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions," Discussion Papers of DIW Berlin 1564, DIW Berlin, German Institute for Economic Research.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2016. "Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions," MAGKS Papers on Economics 201616, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018.
"Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review,"
Discussion Papers of DIW Berlin
1762, DIW Berlin, German Institute for Economic Research.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2020. "Constructing joint confidence bands for impulse response functions of VAR models – A review," Econometrics and Statistics, Elsevier, vol. 13(C), pages 69-83.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2018. "Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review," Lodz Economics Working Papers 4/2018, University of Lodz, Faculty of Economics and Sociology.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018.
"Estimation of structural impulse responses: short-run versus long-run identifying restrictions,"
AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 102(2), pages 229-244, April.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2017. "Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions," Discussion Papers of DIW Berlin 1642, DIW Berlin, German Institute for Economic Research.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2017. "Estimation of Structural Impulse Responses: Short-Run versus Long-run Identifying Restrictions," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168061, Verein für Socialpolitik / German Economic Association.
- Haug, Alfred A. & King, Ian, 2014. "In the long run, US unemployment follows inflation like a faithful dog," Journal of Macroeconomics, Elsevier, vol. 41(C), pages 42-52.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013.
"Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions,"
Discussion Papers of DIW Berlin
1292, DIW Berlin, German Institute for Economic Research.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2015. "Comparison of methods for constructing joint confidence bands for impulse response functions," International Journal of Forecasting, Elsevier, vol. 31(3), pages 782-798.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013. "Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions," SFB 649 Discussion Papers SFB649DP2013-031, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013. "Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions," MAGKS Papers on Economics 201325, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
Cited by:
- Boer, Lukas & Lütkepohl, Helmut, 2021.
"Qualitative versus quantitative external information for proxy vector autoregressive analysis,"
Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
- Lukas Boer & Helmut Lütkepohl, 2021. "Qualitative versus Quantitative External Information for Proxy Vector Autoregressive Analysis," Discussion Papers of DIW Berlin 1940, DIW Berlin, German Institute for Economic Research.
- Adam Kucera & Evzen Kocenda & Ales Marsal, 2022.
"Yield Curve Dynamics and Fiscal Policy Shocks,"
Working Papers IES
2022/04, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2022.
- Adam Kuèera & Evžen Koèenda & Aleš Maršál, 2019. "Yield Curve Dynamics and Fiscal Policy Shocks," Working and Discussion Papers WP 2/2019, Research Department, National Bank of Slovakia.
- 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.
- Kilian, Lutz & Inoue, Atsushi, 2020.
"The Role of the Prior in Estimating VAR Models with Sign Restrictions,"
CEPR Discussion Papers
15545, C.E.P.R. Discussion Papers.
- Inoue, Atsushi & Kilian, Lutz, 2021. "The role of the prior in estimating VAR models with sign restrictions," CFS Working Paper Series 660, Center for Financial Studies (CFS).
- Atsushi Inoue & Lutz Kilian, 2020. "The Role of the Prior in Estimating VAR Models with Sign Restrictions," Working Papers 2030, Federal Reserve Bank of Dallas.
- Yanwei Zhang & Hualin Xie, 2019. "Interactive Relationship among Urban Expansion, Economic Development, and Population Growth since the Reform and Opening up in China: An Analysis Based on a Vector Error Correction Model," Land, MDPI, vol. 8(10), pages 1-31, October.
- Anna Staszewska-Bystrova & Peter Winker, 2014. "Measuring Forecast Uncertainty of Corporate Bond Spreads by Bonferroni-Type Prediction Bands," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 6(2), pages 89-104, June.
- Inoue, Atsushi & Kilian, Lutz, 2016.
"Joint confidence sets for structural impulse responses,"
Journal of Econometrics, Elsevier, vol. 192(2), pages 421-432.
- Atsushi Inoue & Lutz Kilian, 2016. "Joint Confidence Sets for Structural Impulse Responses," CESifo Working Paper Series 5746, CESifo.
- Atsushi Inoue & Lutz Kilian, 2014. "Joint Confidence Sets for Structural Impulse Responses," Departmental Working Papers 1401, Southern Methodist University, Department of Economics.
- Kilian, Lutz & Inoue, Atsushi, 2014. "Joint Confidence Sets for Structural Impulse Responses," CEPR Discussion Papers 9892, C.E.P.R. Discussion Papers.
- Lütkepohl, Helmut & Schlaak, Thore, 2019.
"Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH,"
Journal of Economic Dynamics and Control, Elsevier, vol. 101(C), pages 41-61.
- Helmut Lütkepohl & Thore Schlaak, 2018. "Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH," Discussion Papers of DIW Berlin 1750, DIW Berlin, German Institute for Economic Research.
- Walentin, Karl, 2014.
"Business cycle implications of mortgage spreads,"
Journal of Monetary Economics, Elsevier, vol. 67(C), pages 62-77.
- Walentin, Karl, 2013. "Business Cycle Implications of Mortgage Spreads," Working Paper Series 275, Sveriges Riksbank (Central Bank of Sweden), revised 01 Mar 2014.
- Grabowski, Daniel & Staszewska-Bystrova, Anna, 2018.
"Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions,"
VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy
181590, Verein für Socialpolitik / German Economic Association.
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2018. "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," MAGKS Papers on Economics 201810, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2018. "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," Lodz Economics Working Papers 1/2018, University of Lodz, Faculty of Economics and Sociology.
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2020. "Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(1), pages 5-32, March.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2014.
"Confidence Bands for Impulse Responses: Bonferroni versus Wald,"
SFB 649 Discussion Papers
SFB649DP2014-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2014. "Confidence Bands for Impulse Responses: Bonferroni versus Wald," CESifo Working Paper Series 4634, CESifo.
- 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.
- Winker, Peter & Helmut, Lütkepohl & Staszewska-Bystrova, Anna, 2014. "Confidence Bands for Impulse Responses: Bonferroni versus Wald," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100597, Verein für Socialpolitik / German Economic Association.
- Bruns, Martin & Lütkepohl, Helmut, 2022.
"Comparison of local projection estimators for proxy vector autoregressions,"
Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
- Martin Bruns & Helmut Luetkepohl, 2021. "Comparison of Local Projection Estimators for Proxy Vector Autoregressions," University of East Anglia School of Economics Working Paper Series 2021-04, School of Economics, University of East Anglia, Norwich, UK..
- Martin Bruns & Helmut Lütkepohl, 2021. "Comparison of Local Projection Estimators for Proxy Vector Autoregressions," Discussion Papers of DIW Berlin 1949, DIW Berlin, German Institute for Economic Research.
- Poeschel, Friedrich, 2012.
"Assortative matching through signals,"
IAB-Discussion Paper
201215, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
- Poeschel, Friedrich, 2012. "Assortative matching through signals," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62061, Verein für Socialpolitik / German Economic Association.
- Friedrich Poeschel, 2013. "Assortative matching through signals," 2013 Papers ppo178, Job Market Papers.
- Friedrich Poeschel, 2013. "Assortative matching through signals," SFB 649 Discussion Papers SFB649DP2013-044, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Güntner, Jochen & Reif, Magnus & Wolters, Maik H., 2024.
"Sudden stop: Supply and demand shocks in the German natural gas market,"
IMFS Working Paper Series
206, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Jochen Güntner & Magnus Reif & Maik Wolters & Maik H. Wolters, 2024. "Sudden Stop: Supply and Demand Shocks in the German Natural Gas Market," CESifo Working Paper Series 11191, CESifo.
- Güntner, Jochen & Reif, Magnus & Wolters, Maik H., 2024. "Sudden stop: Supply and demand shocks in the German natural gas market," Discussion Papers 22/2024, Deutsche Bundesbank.
- Joyce Jacobsen & Melanie Khamis & Mutlu Yuksel, 2024.
"Demography, Human Capital Investment, and Lifetime Earnings for Women and Men,"
Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 50(3), pages 259-277, June.
- Joyce P. Jacobsen & Melanie Khamis & Mutlu Yuksel, 2024. "Demography, Human Capital Investment, and Lifetime Earnings for Women and Men," Wesleyan Economics Working Papers 2024-008, Wesleyan University, Department of Economics.
- Jacobsen, Joyce P. & Khamis, Melanie & Yuksel, Mutlu, 2024. "Demography, Human Capital Investment, and Lifetime Earnings for Women and Men," IZA Discussion Papers 16936, Institute of Labor Economics (IZA).
- Atsushi Inoue & Lutz Kilian, 2020.
"Joint Bayesian Inference about Impulse Responses in VAR Models,"
Working Papers
2022, Federal Reserve Bank of Dallas.
- Inoue, Atsushi & Kilian, Lutz, 2022. "Joint Bayesian inference about impulse responses in VAR models," Journal of Econometrics, Elsevier, vol. 231(2), pages 457-476.
- Inoue, Atsushi & Kilian, Lutz, 2020. "Joint Bayesian inference about impulse responses in VAR models," CFS Working Paper Series 650, Center for Financial Studies (CFS).
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018.
"Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review,"
Discussion Papers of DIW Berlin
1762, DIW Berlin, German Institute for Economic Research.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2020. "Constructing joint confidence bands for impulse response functions of VAR models – A review," Econometrics and Statistics, Elsevier, vol. 13(C), pages 69-83.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2018. "Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review," Lodz Economics Working Papers 4/2018, University of Lodz, Faculty of Economics and Sociology.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018.
"Estimation of structural impulse responses: short-run versus long-run identifying restrictions,"
AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 102(2), pages 229-244, April.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2017. "Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions," Discussion Papers of DIW Berlin 1642, DIW Berlin, German Institute for Economic Research.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2017. "Estimation of Structural Impulse Responses: Short-Run versus Long-run Identifying Restrictions," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168061, Verein für Socialpolitik / German Economic Association.
- M. Raddant & T. Di Matteo, 2023.
"A look at financial dependencies by means of econophysics and financial economics,"
Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 18(4), pages 701-734, October.
- M. Raddant & T. Di Matteo, 2023. "A Look at Financial Dependencies by Means of Econophysics and Financial Economics," Papers 2302.08208, arXiv.org.
- Demetrescu, Matei & Salish, Nazarii, 2024. "(Structural) VAR models with ignored changes in mean and volatility," International Journal of Forecasting, Elsevier, vol. 40(2), pages 840-854.
- Staszewska-Bystrova Anna, 2013. "Modified Scheffé’s Prediction Bands," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 233(5-6), pages 680-690, October.
- Fresoli, Diego & Ruiz, Esther & Pascual, Lorenzo, 2015. "Bootstrap multi-step forecasts of non-Gaussian VAR models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 834-848.
- Atsushi Inoue & Lutz Kilian, 2019.
"The uniform validity of impulse response inference in autoregressions,"
Vanderbilt University Department of Economics Working Papers
19-00001, Vanderbilt University Department of Economics.
- Inoue, Atsushi & Kilian, Lutz, 2020. "The uniform validity of impulse response inference in autoregressions," Journal of Econometrics, Elsevier, vol. 215(2), pages 450-472.
- Atsushi Inoue & Lutz Kilian, 2019. "The Uniform Validity of Impulse Response Inference in Autoregressions," Working Papers 1908, Federal Reserve Bank of Dallas.
- Atsushi Inoue & Lutz Kilian, 2019. "The uniform validity of impulse response inference in autoregressions," Vanderbilt University Department of Economics Working Papers 19-00001, Vanderbilt University Department of Economics.
- Jørgen Bølstad & Christoph Elhardt, 2015. "To bail out or not to bail out? Crisis politics, credibility, and default risk in the Eurozone," European Union Politics, , vol. 16(3), pages 325-346, September.
- Schüssler, Rainer & Trede, Mark, 2016. "Constructing minimum-width confidence bands," Economics Letters, Elsevier, vol. 145(C), pages 182-185.
- Martin Bruns & Helmut Luetkepohl, 2020.
"An Alternative Bootstrap for Proxy Vector Autoregressions,"
University of East Anglia School of Economics Working Paper Series
2020-06, School of Economics, University of East Anglia, Norwich, UK..
- Martin Bruns & Helmut Lütkepohl, 2023. "An Alternative Bootstrap for Proxy Vector Autoregressions," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1857-1882, December.
- Martin Bruns & Helmut Lütkepohl, 2020. "An Alternative Bootstrap for Proxy Vector Autoregressions," Discussion Papers of DIW Berlin 1913, DIW Berlin, German Institute for Economic Research.
- Lynda Khalaf & Beatriz Peraza López, 2020. "Simultaneous Indirect Inference, Impulse Responses and ARMA Models," Econometrics, MDPI, vol. 8(2), pages 1-26, April.
- Lieb, Lenard & Smeekes, Stephan, 2017.
"Inference for Impulse Responses under Model Uncertainty,"
Research Memorandum
022, Maastricht University, Graduate School of Business and Economics (GSBE).
- Lenard Lieb & Stephan Smeekes, 2017. "Inference for Impulse Responses under Model Uncertainty," Papers 1709.09583, arXiv.org, revised Oct 2019.
- Grabowski Daniel & Staszewska-Bystrova Anna & Winker Peter, 2017. "Generating prediction bands for path forecasts from SETAR models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(5), pages 1-18, December.
- Niklas Ahlgren & Paul Catani, 2017. "Wild bootstrap tests for autocorrelation in vector autoregressive models," Statistical Papers, Springer, vol. 58(4), pages 1189-1216, December.
- Nikolaos Antonakakis & Ioannis Chatziantoniou & David Gabauer, 2020. "Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions," JRFM, MDPI, vol. 13(4), pages 1-23, April.
- Anna Staszewska, 2006.
"Representing Uncertainty about Response Paths: the Use of Heuristic Optimisation Methods,"
Computing in Economics and Finance 2006
379, Society for Computational Economics.
- Staszewska, Anna, 2007. "Representing uncertainty about response paths: The use of heuristic optimisation methods," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 121-132, September.
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.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013.
"Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions,"
SFB 649 Discussion Papers
SFB649DP2013-031, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013. "Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions," MAGKS Papers on Economics 201325, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013. "Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions," Discussion Papers of DIW Berlin 1292, DIW Berlin, German Institute for Economic Research.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2015. "Comparison of methods for constructing joint confidence bands for impulse response functions," International Journal of Forecasting, Elsevier, vol. 31(3), pages 782-798.
- Grabowski, Daniel & Staszewska-Bystrova, Anna, 2018.
"Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions,"
VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy
181590, Verein für Socialpolitik / German Economic Association.
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2018. "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," MAGKS Papers on Economics 201810, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2018. "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," Lodz Economics Working Papers 1/2018, University of Lodz, Faculty of Economics and Sociology.
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2020. "Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(1), pages 5-32, March.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2014.
"Confidence Bands for Impulse Responses: Bonferroni versus Wald,"
SFB 649 Discussion Papers
SFB649DP2014-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2014. "Confidence Bands for Impulse Responses: Bonferroni versus Wald," CESifo Working Paper Series 4634, CESifo.
- 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.
- Winker, Peter & Helmut, Lütkepohl & Staszewska-Bystrova, Anna, 2014. "Confidence Bands for Impulse Responses: Bonferroni versus Wald," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100597, Verein für Socialpolitik / German Economic Association.
- 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.
- Staszewska-Bystrova Anna, 2013. "Modified Scheffé’s Prediction Bands," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 233(5-6), pages 680-690, October.
- Schüssler, Rainer & Trede, Mark, 2016. "Constructing minimum-width confidence bands," Economics Letters, Elsevier, vol. 145(C), pages 182-185.
- Lynda Khalaf & Beatriz Peraza López, 2020. "Simultaneous Indirect Inference, Impulse Responses and ARMA Models," Econometrics, MDPI, vol. 8(2), pages 1-26, April.
- Bystrov, Victor, 2013.
"A factor-augemented model of markup on mortgage loans in Poland,"
MPRA Paper
49683, University Library of Munich, Germany.
- Victor Bystrov, 2014. "A factor-augmented model of markup on mortgage loans in Poland," Bank i Kredyt, Narodowy Bank Polski, vol. 45(6), pages 491-512.
- Anna Staszewska-Bystrova, 2009. "Bootstrap Confidence Bands for Forecast Paths," Working Papers 024, COMISEF.
- Antoniadis, Anestis & Brossat, Xavier & Cugliari, Jairo & Poggi, Jean-Michel, 2016. "A prediction interval for a function-valued forecast model: Application to load forecasting," International Journal of Forecasting, Elsevier, vol. 32(3), pages 939-947.
- Gilli, Manfred & Winker, Peter, 2007. "2nd Special Issue on Applications of Optimization Heuristics to Estimation and Modelling Problems," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 2-3, September.
- Staszewska-Bystrova, Anna & Winker, Peter, 2013. "Constructing narrowest pathwise bootstrap prediction bands using threshold accepting," International Journal of Forecasting, Elsevier, vol. 29(2), pages 221-233.
- Manfred GILLI & Peter WINKER, 2008.
"A review of heuristic optimization methods in econometrics,"
Swiss Finance Institute Research Paper Series
08-12, Swiss Finance Institute.
- Manfred Gilli & Peter Winker, 2008. "Review of Heuristic Optimization Methods in Econometrics," Working Papers 001, COMISEF.
- John Aldrich & Anna Staszewska, 2006.
"The experiment in macroeconometrics,"
Working Papers
12, Department of Applied Econometrics, Warsaw School of Economics.
- John Aldrich & Anna Staszewska, 2007. "The experiment in macroeconometrics," Journal of Economic Methodology, Taylor & Francis Journals, vol. 14(2), pages 143-166.
Cited by:
- Staszewska, Anna, 2007.
"Representing uncertainty about response paths: The use of heuristic optimisation methods,"
Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 121-132, September.
- Anna Staszewska, 2006. "Representing Uncertainty about Response Paths: the Use of Heuristic Optimisation Methods," Computing in Economics and Finance 2006 379, Society for Computational Economics.
Articles
- Bystrov Victor & Naboka Viktoriia & Winker Peter & Staszewska-Bystrova Anna, 2022.
"Cross-Corpora Comparisons of Topics and Topic Trends,"
Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 242(4), pages 433-469, August.
Cited by:
- Winker, Peter, 2023. "Visualizing Topic Uncertainty in Topic Modelling," VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage" 277584, Verein für Socialpolitik / German Economic Association.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2020.
"Constructing joint confidence bands for impulse response functions of VAR models – A review,"
Econometrics and Statistics, Elsevier, vol. 13(C), pages 69-83.
See citations under working paper version above.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2018. "Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review," Lodz Economics Working Papers 4/2018, University of Lodz, Faculty of Economics and Sociology.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018. "Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review," Discussion Papers of DIW Berlin 1762, DIW Berlin, German Institute for Economic Research.
- Wojciech Grabowski & Anna Staszewska-Bystrova, 2020.
"The Role of Public Support for Innovativeness in SMEs Across European Countries and Sectors of Economic Activity,"
Sustainability, MDPI, vol. 12(10), pages 1-19, May.
Cited by:
- Meda Andrijauskiene & Daiva Dumciuviene & Alina Stundziene, 2021. "EU framework programmes: positive and negative effects on member states' innovation performance," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 16(3), pages 471-502, September.
- Lewandowska Małgorzata Stefania & Weresa Marzenna Anna & Rószkiewicz Małgorzata, 2022. "Evaluating the impact of public financial support on innovation activities of European Union enterprises: Additionality approach," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 58(3), pages 248-266, September.
- Nevenka Čučković & Valentina Vučković, 2021. "The Effects Of Eu R&I Funding On Sme Innovation And Business Performance In New Eu Member States: Firm-Level Evidence," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 66(228), pages 7-42, January –.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018.
"Calculating joint confidence bands for impulse response functions using highest density regions,"
Empirical Economics, Springer, vol. 55(4), pages 1389-1411, December.
See citations under working paper version above.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2016. "Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions," SFB 649 Discussion Papers SFB649DP2016-017, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2016. "Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions," Discussion Papers of DIW Berlin 1564, DIW Berlin, German Institute for Economic Research.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2016. "Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions," MAGKS Papers on Economics 201616, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018.
"Estimation of structural impulse responses: short-run versus long-run identifying restrictions,"
AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 102(2), pages 229-244, April.
See citations under working paper version above.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2017. "Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions," Discussion Papers of DIW Berlin 1642, DIW Berlin, German Institute for Economic Research.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2017. "Estimation of Structural Impulse Responses: Short-Run versus Long-run Identifying Restrictions," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168061, Verein für Socialpolitik / German Economic Association.
- Grabowski Daniel & Staszewska-Bystrova Anna & Winker Peter, 2017.
"Generating prediction bands for path forecasts from SETAR models,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(5), pages 1-18, December.
Cited by:
- Grabowski, Daniel & Staszewska-Bystrova, Anna, 2018.
"Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions,"
VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy
181590, Verein für Socialpolitik / German Economic Association.
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2018. "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," MAGKS Papers on Economics 201810, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2018. "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," Lodz Economics Working Papers 1/2018, University of Lodz, Faculty of Economics and Sociology.
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2020. "Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(1), pages 5-32, March.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018.
"Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review,"
Discussion Papers of DIW Berlin
1762, DIW Berlin, German Institute for Economic Research.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2020. "Constructing joint confidence bands for impulse response functions of VAR models – A review," Econometrics and Statistics, Elsevier, vol. 13(C), pages 69-83.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2018. "Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review," Lodz Economics Working Papers 4/2018, University of Lodz, Faculty of Economics and Sociology.
- Grabowski, Daniel & Staszewska-Bystrova, Anna, 2018.
"Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions,"
VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy
181590, Verein für Socialpolitik / German Economic Association.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2015.
"Confidence Bands for Impulse Responses: Bonferroni vs. Wald,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(6), pages 800-821, December.
Cited by:
- Boer, Lukas & Lütkepohl, Helmut, 2021.
"Qualitative versus quantitative external information for proxy vector autoregressive analysis,"
Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
- Lukas Boer & Helmut Lütkepohl, 2021. "Qualitative versus Quantitative External Information for Proxy Vector Autoregressive Analysis," Discussion Papers of DIW Berlin 1940, DIW Berlin, German Institute for Economic Research.
- 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.
- Kilian, Lutz & Inoue, Atsushi, 2020.
"The Role of the Prior in Estimating VAR Models with Sign Restrictions,"
CEPR Discussion Papers
15545, C.E.P.R. Discussion Papers.
- Inoue, Atsushi & Kilian, Lutz, 2021. "The role of the prior in estimating VAR models with sign restrictions," CFS Working Paper Series 660, Center for Financial Studies (CFS).
- Atsushi Inoue & Lutz Kilian, 2020. "The Role of the Prior in Estimating VAR Models with Sign Restrictions," Working Papers 2030, Federal Reserve Bank of Dallas.
- Lütkepohl, Helmut & Schlaak, Thore, 2019.
"Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH,"
Journal of Economic Dynamics and Control, Elsevier, vol. 101(C), pages 41-61.
- Helmut Lütkepohl & Thore Schlaak, 2018. "Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH," Discussion Papers of DIW Berlin 1750, DIW Berlin, German Institute for Economic Research.
- Fengler, Matthias & Polivka, Jeannine, 2022. "Structural Volatility Impulse Response Analysis," Economics Working Paper Series 2211, University of St. Gallen, School of Economics and Political Science.
- Funke, Michael & Loermann, Julius & Tsang, Andrew, 2020.
"Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets,"
BOFIT Discussion Papers
22/2020, Bank of Finland Institute for Emerging Economies (BOFIT).
- Michael Funke & Julius Loermann & Andrew Tsang, 2022. "Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets," Review of International Economics, Wiley Blackwell, vol. 30(2), pages 606-628, May.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018.
"Calculating joint confidence bands for impulse response functions using highest density regions,"
Empirical Economics, Springer, vol. 55(4), pages 1389-1411, December.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2016. "Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions," SFB 649 Discussion Papers SFB649DP2016-017, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2016. "Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions," Discussion Papers of DIW Berlin 1564, DIW Berlin, German Institute for Economic Research.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2016. "Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions," MAGKS Papers on Economics 201616, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Czudaj, Robert & Beckmann, Joscha, 2018.
"Monetary policy shocks, expectations and information rigidities,"
VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy
181573, Verein für Socialpolitik / German Economic Association.
- Joscha Beckmann & Robert Czudaj, 2018. "Monetary policy shocks, expectations and information rigidities," Chemnitz Economic Papers 019, Department of Economics, Chemnitz University of Technology.
- Joscha Beckmann & Robert L. Czudaj, 2018. "Monetary Policy Shocks, Expectations, And Information Rigidities," Economic Inquiry, Western Economic Association International, vol. 56(4), pages 2158-2176, October.
- Grabowski, Daniel & Staszewska-Bystrova, Anna, 2018.
"Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions,"
VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy
181590, Verein für Socialpolitik / German Economic Association.
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2018. "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," MAGKS Papers on Economics 201810, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2018. "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," Lodz Economics Working Papers 1/2018, University of Lodz, Faculty of Economics and Sociology.
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2020. "Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(1), pages 5-32, March.
- Bruns, Martin & Lütkepohl, Helmut, 2022.
"Comparison of local projection estimators for proxy vector autoregressions,"
Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
- Martin Bruns & Helmut Luetkepohl, 2021. "Comparison of Local Projection Estimators for Proxy Vector Autoregressions," University of East Anglia School of Economics Working Paper Series 2021-04, School of Economics, University of East Anglia, Norwich, UK..
- Martin Bruns & Helmut Lütkepohl, 2021. "Comparison of Local Projection Estimators for Proxy Vector Autoregressions," Discussion Papers of DIW Berlin 1949, DIW Berlin, German Institute for Economic Research.
- Mardi Dungey & Denise R. Osborn, 2020.
"The Gains from Catch‐up for China and the USA: An Empirical Framework,"
The Economic Record, The Economic Society of Australia, vol. 96(314), pages 350-365, September.
- Mardi Dungey & Denise R. Osborn, 2019. "The gains from catch-up for China and the US: An empirical framework," CAMA Working Papers 2019-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Atsushi Inoue & Lutz Kilian, 2020.
"Joint Bayesian Inference about Impulse Responses in VAR Models,"
Working Papers
2022, Federal Reserve Bank of Dallas.
- Inoue, Atsushi & Kilian, Lutz, 2022. "Joint Bayesian inference about impulse responses in VAR models," Journal of Econometrics, Elsevier, vol. 231(2), pages 457-476.
- Inoue, Atsushi & Kilian, Lutz, 2020. "Joint Bayesian inference about impulse responses in VAR models," CFS Working Paper Series 650, Center for Financial Studies (CFS).
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018.
"Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review,"
Discussion Papers of DIW Berlin
1762, DIW Berlin, German Institute for Economic Research.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2020. "Constructing joint confidence bands for impulse response functions of VAR models – A review," Econometrics and Statistics, Elsevier, vol. 13(C), pages 69-83.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2018. "Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review," Lodz Economics Working Papers 4/2018, University of Lodz, Faculty of Economics and Sociology.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018.
"Estimation of structural impulse responses: short-run versus long-run identifying restrictions,"
AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 102(2), pages 229-244, April.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2017. "Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions," Discussion Papers of DIW Berlin 1642, DIW Berlin, German Institute for Economic Research.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2017. "Estimation of Structural Impulse Responses: Short-Run versus Long-run Identifying Restrictions," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168061, Verein für Socialpolitik / German Economic Association.
- Povilas Lastauskas & Julius Stakénas, 2019.
"Does It Matter When Labor Market Reforms Are Implemented? The Role of the Monetary Policy Environment,"
CESifo Working Paper Series
7844, CESifo.
- Povilas Lastauskas & Julius Stakenas, 2019. "Does It Matter When Labor Market Reforms Are Implemented? The Role of the Monetary Policy Environment," Bank of Lithuania Working Paper Series 66, Bank of Lithuania.
- Diego Fresoli, 2022. "Bootstrap VAR forecasts: The effect of model uncertainties," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 279-293, March.
- Hafner, Christian M. & Herwartz, Helmut & Wang, Shu, 2023. "Causal inference with (partially) independent shocks and structural signals on the global crude oil market," LIDAM Discussion Papers ISBA 2023004, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Atsushi Inoue & Lutz Kilian, 2019.
"The uniform validity of impulse response inference in autoregressions,"
Vanderbilt University Department of Economics Working Papers
19-00001, Vanderbilt University Department of Economics.
- Inoue, Atsushi & Kilian, Lutz, 2020. "The uniform validity of impulse response inference in autoregressions," Journal of Econometrics, Elsevier, vol. 215(2), pages 450-472.
- Atsushi Inoue & Lutz Kilian, 2019. "The Uniform Validity of Impulse Response Inference in Autoregressions," Working Papers 1908, Federal Reserve Bank of Dallas.
- Atsushi Inoue & Lutz Kilian, 2019. "The uniform validity of impulse response inference in autoregressions," Vanderbilt University Department of Economics Working Papers 19-00001, Vanderbilt University Department of Economics.
- Martin Bruns & Helmut Luetkepohl, 2020.
"An Alternative Bootstrap for Proxy Vector Autoregressions,"
University of East Anglia School of Economics Working Paper Series
2020-06, School of Economics, University of East Anglia, Norwich, UK..
- Martin Bruns & Helmut Lütkepohl, 2023. "An Alternative Bootstrap for Proxy Vector Autoregressions," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1857-1882, December.
- Martin Bruns & Helmut Lütkepohl, 2020. "An Alternative Bootstrap for Proxy Vector Autoregressions," Discussion Papers of DIW Berlin 1913, DIW Berlin, German Institute for Economic Research.
- Fernando J. Pérez Forero & Marco Vega, 2016. "Asymmetric Exchange Rate Pass-through: Evidence from Nonlinear SVARs," Working Papers 63, Peruvian Economic Association.
- Marinko Škare & Małgorzata Porada-Rochoń, 2021. "Measuring the impact of financial cycles on family firms: how to prepare for crisis?," International Entrepreneurship and Management Journal, Springer, vol. 17(3), pages 1111-1130, September.
- Grabowski Daniel & Staszewska-Bystrova Anna & Winker Peter, 2017. "Generating prediction bands for path forecasts from SETAR models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(5), pages 1-18, December.
- Freyberger, Joachim & Rai, Yoshiyasu, 2018. "Uniform confidence bands: Characterization and optimality," Journal of Econometrics, Elsevier, vol. 204(1), pages 119-130.
- Boer, Lukas & Lütkepohl, Helmut, 2021.
"Qualitative versus quantitative external information for proxy vector autoregressive analysis,"
Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
- Bystrov, Victor & Staszewska-Bystrova, Anna & Rutkowski, Daniel & Hermanowski, Tomasz, 2015.
"Effects of DRG-based hospital payment in Poland on treatment of patients with stroke,"
Health Policy, Elsevier, vol. 119(8), pages 1119-1125.
Cited by:
- Melberg, Hans Olav & Beck Olsen, Camilla & Pedersen, Kine, 2016. "Did hospitals respond to changes in weights of Diagnosis Related Groups in Norway between 2006 and 2013?," Health Policy, Elsevier, vol. 120(9), pages 992-1000.
- Buczak-Stec, Elżbieta & Goryński, Paweł & Nitsch-Osuch, Aneta & Kanecki, Krzysztof & Tyszko, Piotr, 2017. "The impact of introducing a new hospital financing system (DRGs) in Poland on hospitalisations for atherosclerosis: An interrupted time series analysis (2004–2012)," Health Policy, Elsevier, vol. 121(11), pages 1186-1193.
- Dai Su & Yingchun Chen & Hongxia Gao & Haomiao Li & Jingjing Chang & Shihan Lei & Di Jiang & Xiaomei Hu & Min Tan & Zhifang Chen, 2019. "Is There a Difference in the Utilisation of Inpatient Services Between Two Typical Payment Methods of Health Insurance? Evidence from the New Rural Cooperative Medical Scheme in China," IJERPH, MDPI, vol. 16(8), pages 1-16, April.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2015.
"Comparison of methods for constructing joint confidence bands for impulse response functions,"
International Journal of Forecasting, Elsevier, vol. 31(3), pages 782-798.
See citations under working paper version above.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013. "Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions," SFB 649 Discussion Papers SFB649DP2013-031, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013. "Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions," MAGKS Papers on Economics 201325, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013. "Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions," Discussion Papers of DIW Berlin 1292, DIW Berlin, German Institute for Economic Research.
- Anna Staszewska-Bystrova & Peter Winker, 2014.
"Measuring Forecast Uncertainty of Corporate Bond Spreads by Bonferroni-Type Prediction Bands,"
Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 6(2), pages 89-104, June.
Cited by:
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018.
"Calculating joint confidence bands for impulse response functions using highest density regions,"
Empirical Economics, Springer, vol. 55(4), pages 1389-1411, December.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2016. "Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions," SFB 649 Discussion Papers SFB649DP2016-017, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2016. "Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions," Discussion Papers of DIW Berlin 1564, DIW Berlin, German Institute for Economic Research.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2016. "Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions," MAGKS Papers on Economics 201616, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Grabowski, Daniel & Staszewska-Bystrova, Anna, 2018.
"Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions,"
VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy
181590, Verein für Socialpolitik / German Economic Association.
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2018. "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," MAGKS Papers on Economics 201810, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2018. "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," Lodz Economics Working Papers 1/2018, University of Lodz, Faculty of Economics and Sociology.
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2020. "Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(1), pages 5-32, March.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018.
"Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review,"
Discussion Papers of DIW Berlin
1762, DIW Berlin, German Institute for Economic Research.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2020. "Constructing joint confidence bands for impulse response functions of VAR models – A review," Econometrics and Statistics, Elsevier, vol. 13(C), pages 69-83.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2018. "Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review," Lodz Economics Working Papers 4/2018, University of Lodz, Faculty of Economics and Sociology.
- Diego Fresoli, 2022. "Bootstrap VAR forecasts: The effect of model uncertainties," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 279-293, March.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018.
"Calculating joint confidence bands for impulse response functions using highest density regions,"
Empirical Economics, Springer, vol. 55(4), pages 1389-1411, December.
- Staszewska-Bystrova, Anna & Winker, Peter, 2013.
"Constructing narrowest pathwise bootstrap prediction bands using threshold accepting,"
International Journal of Forecasting, Elsevier, vol. 29(2), pages 221-233.
Cited by:
- Anna Staszewska-Bystrova & Peter Winker, 2014. "Measuring Forecast Uncertainty of Corporate Bond Spreads by Bonferroni-Type Prediction Bands," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 6(2), pages 89-104, June.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013.
"Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions,"
SFB 649 Discussion Papers
SFB649DP2013-031, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013. "Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions," MAGKS Papers on Economics 201325, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013. "Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions," Discussion Papers of DIW Berlin 1292, DIW Berlin, German Institute for Economic Research.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2015. "Comparison of methods for constructing joint confidence bands for impulse response functions," International Journal of Forecasting, Elsevier, vol. 31(3), pages 782-798.
- Dag Kolsrud, 2015. "A Time‐Simultaneous Prediction Box for a Multivariate Time Series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(8), pages 675-693, December.
- Fady Barsoum, 2015. "Point and Density Forecasts Using an Unrestricted Mixed-Frequency VAR Model," Working Paper Series of the Department of Economics, University of Konstanz 2015-19, Department of Economics, University of Konstanz.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018.
"Calculating joint confidence bands for impulse response functions using highest density regions,"
Empirical Economics, Springer, vol. 55(4), pages 1389-1411, December.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2016. "Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions," SFB 649 Discussion Papers SFB649DP2016-017, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2016. "Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions," Discussion Papers of DIW Berlin 1564, DIW Berlin, German Institute for Economic Research.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2016. "Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions," MAGKS Papers on Economics 201616, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Grabowski, Daniel & Staszewska-Bystrova, Anna, 2018.
"Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions,"
VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy
181590, Verein für Socialpolitik / German Economic Association.
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2018. "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," MAGKS Papers on Economics 201810, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2018. "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," Lodz Economics Working Papers 1/2018, University of Lodz, Faculty of Economics and Sociology.
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2020. "Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(1), pages 5-32, March.
- 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.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2014.
"Confidence Bands for Impulse Responses: Bonferroni versus Wald,"
SFB 649 Discussion Papers
SFB649DP2014-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2014. "Confidence Bands for Impulse Responses: Bonferroni versus Wald," CESifo Working Paper Series 4634, CESifo.
- 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.
- Winker, Peter & Helmut, Lütkepohl & Staszewska-Bystrova, Anna, 2014. "Confidence Bands for Impulse Responses: Bonferroni versus Wald," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100597, Verein für Socialpolitik / German Economic Association.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018.
"Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review,"
Discussion Papers of DIW Berlin
1762, DIW Berlin, German Institute for Economic Research.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2020. "Constructing joint confidence bands for impulse response functions of VAR models – A review," Econometrics and Statistics, Elsevier, vol. 13(C), pages 69-83.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2018. "Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review," Lodz Economics Working Papers 4/2018, University of Lodz, Faculty of Economics and Sociology.
- Diego Fresoli, 2022. "Bootstrap VAR forecasts: The effect of model uncertainties," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 279-293, March.
- Staszewska-Bystrova Anna, 2013. "Modified Scheffé’s Prediction Bands," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 233(5-6), pages 680-690, October.
- Fresoli, Diego & Ruiz, Esther & Pascual, Lorenzo, 2015. "Bootstrap multi-step forecasts of non-Gaussian VAR models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 834-848.
- Schüssler, Rainer & Trede, Mark, 2016. "Constructing minimum-width confidence bands," Economics Letters, Elsevier, vol. 145(C), pages 182-185.
- Lynda Khalaf & Beatriz Peraza López, 2020. "Simultaneous Indirect Inference, Impulse Responses and ARMA Models," Econometrics, MDPI, vol. 8(2), pages 1-26, April.
- Marcellino, Massimiliano & Knüppel, Malte & Jordà , Òscar, 2010.
"Empirical Simultaneous Confidence Regions for Path-Forecasts,"
CEPR Discussion Papers
7797, C.E.P.R. Discussion Papers.
- Jordà, Òscar & Knüppel, Malte & Marcellino, Massimiliano, 2010. "Empirical simultaneous confidence regions for path-forecasts," Discussion Paper Series 1: Economic Studies 2010,06, Deutsche Bundesbank.
- Jordà, Òscar & Knüppel, Malte & Marcellino, Massimiliano, 2013. "Empirical simultaneous prediction regions for path-forecasts," International Journal of Forecasting, Elsevier, vol. 29(3), pages 456-468.
- Grabowski Daniel & Staszewska-Bystrova Anna & Winker Peter, 2017. "Generating prediction bands for path forecasts from SETAR models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(5), pages 1-18, December.
- Òscar Jordà & Malte Knuppel & Massimiliano Marcellino, 2012.
"Empirical simultaneous prediction regions for path-forecasts,"
Working Paper Series
2012-05, Federal Reserve Bank of San Francisco.
- Jordà, Òscar & Knüppel, Malte & Marcellino, Massimiliano, 2013. "Empirical simultaneous prediction regions for path-forecasts," International Journal of Forecasting, Elsevier, vol. 29(3), pages 456-468.
- Staszewska-Bystrova Anna, 2013.
"Modified Scheffé’s Prediction Bands,"
Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 233(5-6), pages 680-690, October.
Cited by:
- Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Michael Wolf & Dan Wunderli, 2015.
"Recent developments in bootstrap methods for dependent data,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 352-376, May.
- Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Paul Doukhan & Gabriel Lang & Anne Leucht & Michael H. Neumann, 2015. "Recent developments in bootstrap methods for dependent data," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 290-314, May.
- Anna Staszewska-Bystrova & Peter Winker, 2014. "Measuring Forecast Uncertainty of Corporate Bond Spreads by Bonferroni-Type Prediction Bands," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 6(2), pages 89-104, June.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013.
"Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions,"
SFB 649 Discussion Papers
SFB649DP2013-031, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013. "Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions," MAGKS Papers on Economics 201325, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013. "Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions," Discussion Papers of DIW Berlin 1292, DIW Berlin, German Institute for Economic Research.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2015. "Comparison of methods for constructing joint confidence bands for impulse response functions," International Journal of Forecasting, Elsevier, vol. 31(3), pages 782-798.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018.
"Calculating joint confidence bands for impulse response functions using highest density regions,"
Empirical Economics, Springer, vol. 55(4), pages 1389-1411, December.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2016. "Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions," SFB 649 Discussion Papers SFB649DP2016-017, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2016. "Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions," Discussion Papers of DIW Berlin 1564, DIW Berlin, German Institute for Economic Research.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2016. "Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions," MAGKS Papers on Economics 201616, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- 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.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018.
"Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review,"
Discussion Papers of DIW Berlin
1762, DIW Berlin, German Institute for Economic Research.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2020. "Constructing joint confidence bands for impulse response functions of VAR models – A review," Econometrics and Statistics, Elsevier, vol. 13(C), pages 69-83.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2018. "Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review," Lodz Economics Working Papers 4/2018, University of Lodz, Faculty of Economics and Sociology.
- Lynda Khalaf & Beatriz Peraza López, 2020. "Simultaneous Indirect Inference, Impulse Responses and ARMA Models," Econometrics, MDPI, vol. 8(2), pages 1-26, April.
- Marcellino, Massimiliano & Knüppel, Malte & Jordà , Òscar, 2010.
"Empirical Simultaneous Confidence Regions for Path-Forecasts,"
CEPR Discussion Papers
7797, C.E.P.R. Discussion Papers.
- Jordà, Òscar & Knüppel, Malte & Marcellino, Massimiliano, 2010. "Empirical simultaneous confidence regions for path-forecasts," Discussion Paper Series 1: Economic Studies 2010,06, Deutsche Bundesbank.
- Jordà, Òscar & Knüppel, Malte & Marcellino, Massimiliano, 2013. "Empirical simultaneous prediction regions for path-forecasts," International Journal of Forecasting, Elsevier, vol. 29(3), pages 456-468.
- Òscar Jordà & Malte Knuppel & Massimiliano Marcellino, 2012.
"Empirical simultaneous prediction regions for path-forecasts,"
Working Paper Series
2012-05, Federal Reserve Bank of San Francisco.
- Jordà, Òscar & Knüppel, Malte & Marcellino, Massimiliano, 2013. "Empirical simultaneous prediction regions for path-forecasts," International Journal of Forecasting, Elsevier, vol. 29(3), pages 456-468.
- Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Michael Wolf & Dan Wunderli, 2015.
"Recent developments in bootstrap methods for dependent data,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 352-376, May.
- 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.
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 & Dimitris N. Politis & Anders Rahbek & Michael Wolf & Dan Wunderli, 2015.
"Recent developments in bootstrap methods for dependent data,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 352-376, May.
- Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Paul Doukhan & Gabriel Lang & Anne Leucht & Michael H. Neumann, 2015. "Recent developments in bootstrap methods for dependent data," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 290-314, May.
- Anna Staszewska-Bystrova & Peter Winker, 2014. "Measuring Forecast Uncertainty of Corporate Bond Spreads by Bonferroni-Type Prediction Bands," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 6(2), pages 89-104, June.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013.
"Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions,"
SFB 649 Discussion Papers
SFB649DP2013-031, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013. "Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions," MAGKS Papers on Economics 201325, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013. "Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions," Discussion Papers of DIW Berlin 1292, DIW Berlin, German Institute for Economic Research.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2015. "Comparison of methods for constructing joint confidence bands for impulse response functions," International Journal of Forecasting, Elsevier, vol. 31(3), pages 782-798.
- Matei Demetrescu & Mu-Chun Wang, 2014. "Incorporating Asymmetric Preferences into Fan Charts and Path Forecasts," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(2), pages 287-297, April.
- Chang Liu & Raja Nassar & Min Guo, 2015. "A Method of Retail Mortgage Stress Testing: Based on Time‐Frame and Magnitude Analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(4), pages 261-274, July.
- Dag Kolsrud, 2015. "A Time‐Simultaneous Prediction Box for a Multivariate Time Series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(8), pages 675-693, December.
- Pascual, Lorenzo & Fresoli, Diego Eduardo, 2011. "Bootstrap forecast of multivariate VAR models without using the backward representation," DES - Working Papers. Statistics and Econometrics. WS ws113426, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Grabowski, Daniel & Staszewska-Bystrova, Anna, 2018.
"Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions,"
VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy
181590, Verein für Socialpolitik / German Economic Association.
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2018. "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," MAGKS Papers on Economics 201810, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2018. "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," Lodz Economics Working Papers 1/2018, University of Lodz, Faculty of Economics and Sociology.
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2020. "Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(1), pages 5-32, March.
- 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.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2014.
"Confidence Bands for Impulse Responses: Bonferroni versus Wald,"
SFB 649 Discussion Papers
SFB649DP2014-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2014. "Confidence Bands for Impulse Responses: Bonferroni versus Wald," CESifo Working Paper Series 4634, CESifo.
- 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.
- Winker, Peter & Helmut, Lütkepohl & Staszewska-Bystrova, Anna, 2014. "Confidence Bands for Impulse Responses: Bonferroni versus Wald," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100597, Verein für Socialpolitik / German Economic Association.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020.
"Forecasting: theory and practice,"
Papers
2012.03854, arXiv.org, revised Jan 2022.
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018.
"Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review,"
Discussion Papers of DIW Berlin
1762, DIW Berlin, German Institute for Economic Research.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2020. "Constructing joint confidence bands for impulse response functions of VAR models – A review," Econometrics and Statistics, Elsevier, vol. 13(C), pages 69-83.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2018. "Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review," Lodz Economics Working Papers 4/2018, University of Lodz, Faculty of Economics and Sociology.
- Staszewska-Bystrova Anna, 2013. "Modified Scheffé’s Prediction Bands," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 233(5-6), pages 680-690, October.
- Fresoli, Diego & Ruiz, Esther & Pascual, Lorenzo, 2015. "Bootstrap multi-step forecasts of non-Gaussian VAR models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 834-848.
- Anna Staszewska-Bystrova & Peter Winker, 2016. "Improved bootstrap prediction intervals for SETAR models," Statistical Papers, Springer, vol. 57(1), pages 89-98, March.
- Schüssler, Rainer & Trede, Mark, 2016. "Constructing minimum-width confidence bands," Economics Letters, Elsevier, vol. 145(C), pages 182-185.
- Lynda Khalaf & Beatriz Peraza López, 2020. "Simultaneous Indirect Inference, Impulse Responses and ARMA Models," Econometrics, MDPI, vol. 8(2), pages 1-26, April.
- Bystrov, Victor, 2013.
"A factor-augemented model of markup on mortgage loans in Poland,"
MPRA Paper
49683, University Library of Munich, Germany.
- Victor Bystrov, 2014. "A factor-augmented model of markup on mortgage loans in Poland," Bank i Kredyt, Narodowy Bank Polski, vol. 45(6), pages 491-512.
- Michael Wolf & Dan Wunderli, 2012. "Bootstrap joint prediction regions," ECON - Working Papers 064, Department of Economics - University of Zurich, revised May 2013.
- Chi Hua & Erxi Zhu & Liang Kuang & Dechang Pi, 2019. "Short-term power prediction of photovoltaic power station based on long short-term memory-back-propagation," International Journal of Distributed Sensor Networks, , vol. 15(10), pages 15501477198, October.
- Marcellino, Massimiliano & Knüppel, Malte & Jordà , Òscar, 2010.
"Empirical Simultaneous Confidence Regions for Path-Forecasts,"
CEPR Discussion Papers
7797, C.E.P.R. Discussion Papers.
- Jordà, Òscar & Knüppel, Malte & Marcellino, Massimiliano, 2010. "Empirical simultaneous confidence regions for path-forecasts," Discussion Paper Series 1: Economic Studies 2010,06, Deutsche Bundesbank.
- Jordà, Òscar & Knüppel, Malte & Marcellino, Massimiliano, 2013. "Empirical simultaneous prediction regions for path-forecasts," International Journal of Forecasting, Elsevier, vol. 29(3), pages 456-468.
- Antoniadis, Anestis & Brossat, Xavier & Cugliari, Jairo & Poggi, Jean-Michel, 2016. "A prediction interval for a function-valued forecast model: Application to load forecasting," International Journal of Forecasting, Elsevier, vol. 32(3), pages 939-947.
- Grabowski Daniel & Staszewska-Bystrova Anna & Winker Peter, 2017. "Generating prediction bands for path forecasts from SETAR models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(5), pages 1-18, December.
- Staszewska-Bystrova, Anna & Winker, Peter, 2013. "Constructing narrowest pathwise bootstrap prediction bands using threshold accepting," International Journal of Forecasting, Elsevier, vol. 29(2), pages 221-233.
- Òscar Jordà & Malte Knuppel & Massimiliano Marcellino, 2012.
"Empirical simultaneous prediction regions for path-forecasts,"
Working Paper Series
2012-05, Federal Reserve Bank of San Francisco.
- Jordà, Òscar & Knüppel, Malte & Marcellino, Massimiliano, 2013. "Empirical simultaneous prediction regions for path-forecasts," International Journal of Forecasting, Elsevier, vol. 29(3), pages 456-468.
- 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.
- John Aldrich & Anna Staszewska, 2007.
"The experiment in macroeconometrics,"
Journal of Economic Methodology, Taylor & Francis Journals, vol. 14(2), pages 143-166.
See citations under working paper version above.
- John Aldrich & Anna Staszewska, 2006. "The experiment in macroeconometrics," Working Papers 12, Department of Applied Econometrics, Warsaw School of Economics.
- Staszewska, Anna, 2007.
"Representing uncertainty about response paths: The use of heuristic optimisation methods,"
Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 121-132, September.
See citations under working paper version above.
- Anna Staszewska, 2006. "Representing Uncertainty about Response Paths: the Use of Heuristic Optimisation Methods," Computing in Economics and Finance 2006 379, Society for Computational Economics.
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 17 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ETS: Econometric Time Series (13) 2010-01-10 2013-04-27 2013-06-09 2014-01-24 2015-02-22 2016-04-09 2016-04-23 2016-09-11 2017-02-19 2017-10-29 2018-03-19 2018-04-02 2018-10-22. Author is listed
- NEP-ECM: Econometrics (9) 2010-01-10 2013-04-27 2014-01-24 2016-04-09 2017-02-19 2017-03-05 2018-03-19 2018-10-22 2018-11-12. Author is listed
- NEP-FOR: Forecasting (3) 2010-01-10 2014-01-24 2014-02-02
- NEP-ORE: Operations Research (1) 2010-01-10
- NEP-PKE: Post Keynesian Economics (1) 2016-05-08
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