Error bands for impulse responses
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Christopher A. Sims & Tao Zha, 1999. "Error Bands for Impulse Responses," Econometrica, Econometric Society, vol. 67(5), pages 1113-1156, September.
- Christopher A. Sims & Tao Zha, 1994. "Error Bands for Impulse Responses," Cowles Foundation Discussion Papers 1085, Cowles Foundation for Research in Economics, Yale University.
References listed on IDEAS
- Runkle, David E, 1987. "Vector Autoregressions and Reality," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 437-442, October.
- Christopher A. Sims, 1986. "Are forecasting models usable for policy analysis?," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 10(Win), pages 2-16.
- Poterba, James M & Rotemberg, Julio J & Summers, Lawrence H, 1986.
"A Tax-Based Test for Nominal Rigidities,"
American Economic Review, American Economic Association, vol. 76(4), pages 659-675, September.
- James M. Poterba & Julio J. Rotemberg & Lawrence H. Summers, 1985. "A Tax-Based Test for Nominal Rigidities," NBER Working Papers 1627, National Bureau of Economic Research, Inc.
- James M. Poterba & Julio J. Rotemberg & Lawrence H. Summers, 1985. "A Tax-Based Test for Nominal Rigidities," Working papers 376, Massachusetts Institute of Technology (MIT), Department of Economics.
- Kloek, Tuen & van Dijk, Herman K, 1978.
"Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo,"
Econometrica, Econometric Society, vol. 46(1), pages 1-19, January.
- Kloek, T. & van Dijk, H. K., 1976. "BAYESIAN ESTIMATES OF EQUATION SYSTEM PARAMETERS An Application of Integration by Monte Carlo," Econometric Institute Archives 272139, Erasmus University Rotterdam.
- Mittnik, Stefan & Zadrozny, Peter A, 1993. "Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models," Econometrica, Econometric Society, vol. 61(4), pages 857-870, July.
- Sims, Christopher A & Uhlig, Harald, 1991.
"Understanding Unit Rooters: A Helicopter Tour,"
Econometrica, Econometric Society, vol. 59(6), pages 1591-1599, November.
- Christopher A. Sims & Harald Uhlig, 1988. "Understanding unit rooters: a helicopter tour," Discussion Paper / Institute for Empirical Macroeconomics 4, Federal Reserve Bank of Minneapolis.
- Gordon, David B & Leeper, Eric M, 1994.
"The Dynamic Impacts of Monetary Policy: An Exercise in Tentative Identification,"
Journal of Political Economy, University of Chicago Press, vol. 102(6), pages 1228-1247, December.
- David B. Gordon & Eric M. Leeper, 1992. "The dynamic impacts of monetary policy: an exercise in tentative identification," FRB Atlanta Working Paper 92-13, Federal Reserve Bank of Atlanta.
- David B. Gordon & Eric M. Leeper, 1993. "The dynamic impacts of monetary policy: an exercise in tentative identification," FRB Atlanta Working Paper 93-5, Federal Reserve Bank of Atlanta.
- Koop, G, 1992. "Aggregate Shocks and Macroeconomic Fluctuations: A Bayesian Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(4), pages 395-411, Oct.-Dec..
- Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-144, January.
- repec:nys:sunysb:93-01 is not listed on IDEAS
- Phillips, P C B, 1991.
"To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(4), pages 333-364, Oct.-Dec..
- Peter C.B. Phillips, 1990. "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends," Cowles Foundation Discussion Papers 950, Cowles Foundation for Research in Economics, Yale University.
- David E. Runkle, 1987. "Vector autoregressions and reality," Staff Report 107, Federal Reserve Bank of Minneapolis.
- Lutkepohl, Helmut, 1990. "Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models," The Review of Economics and Statistics, MIT Press, vol. 72(1), pages 116-125, February.
- Lastrapes, William D & Selgin, George A, 1994. "Buffer-Stock Money: Interpreting Short-Run Dynamics Using Long-Run Restrictions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 26(1), pages 34-54, February.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Uhlig, Harald, 2005.
"What are the effects of monetary policy on output? Results from an agnostic identification procedure,"
Journal of Monetary Economics, Elsevier, vol. 52(2), pages 381-419, March.
- Uhlig, Harald, 1999. "What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure," CEPR Discussion Papers 2137, C.E.P.R. Discussion Papers.
- Uhlig, H.F.H.V.S., 1999. "What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure," Discussion Paper 1999-28, Tilburg University, Center for Economic Research.
- Luis Fernando Melo & Franz A.Hamann, 1998.
"Inflación Básica.Una Estimación Basada en Modelos VAR Estructurales,"
Borradores de Economia
093, Banco de la Republica de Colombia.
- Luis Fernando Melo Velandia & Franz Hamann Salcedo, 1998. "Inflacion Basica. Una Estimacion Basada En Modelos Var Estructurales," Borradores de Economia 2848, Banco de la Republica.
- Pesavento, Elena & Rossi, Barbara, 2007.
"Impulse response confidence intervals for persistent data: What have we learned?,"
Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2398-2412, July.
- Pesavento, Elena & Rossi, Barbara, 2006. "Impulse Response Confidence Intervals for Persistent Data: What Have We Learned?," Working Papers 06-03, Duke University, Department of Economics.
- Elena Pesavento, Barbara Rossi, 2006. "Impulse Response Confidence Intervals for Persistent Data: What Have We Learned?," Economics Working Papers ECO2006/19, European University Institute.
- Geweke, John, 1994.
"Priors for Macroeconomic Time Series and Their Application,"
Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 609-632, August.
- John Geweke, 1992. "Priors for macroeconomic time series and their application," Discussion Paper / Institute for Empirical Macroeconomics 64, Federal Reserve Bank of Minneapolis.
- Leu, Shawn, 2004. "A New Keynesian Perspective of Monetary Policy Implementation in Austr alia," Working Papers 1, University of Sydney, School of Economics.
- Galadima, Mukhtar Danladi & Aminu, Abubakar Wambai, 2019. "Shocks effects of macroeconomic variables on natural gas consumption in Nigeria: Structural VAR with sign restrictions," Energy Policy, Elsevier, vol. 125(C), pages 135-144.
- Koop, Gary & Osiewalski, Jacek & Steel, Mark F.J., 1992. "Posterior inference on long-run impulse responses," UC3M Working papers. Economics 2838, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Tallman, Ellis & Moen, Jon, 1998. "Gold Shocks, Liquidity, and the United States Economy during the National Banking Era," Explorations in Economic History, Elsevier, vol. 35(4), pages 381-404, October.
- Keating, John W., 2000. "Macroeconomic Modeling with Asymmetric Vector Autoregressions," Journal of Macroeconomics, Elsevier, vol. 22(1), pages 1-28, January.
- Ireland, Peter N., 2004.
"A method for taking models to the data,"
Journal of Economic Dynamics and Control, Elsevier, vol. 28(6), pages 1205-1226, March.
- Peter N. Ireland, 1999. "A method for taking models to the data," Working Papers (Old Series) 9903, Federal Reserve Bank of Cleveland.
- Peter Ireland, 1999. "A Method for Taking Models to the Data," Computing in Economics and Finance 1999 1233, Society for Computational Economics.
- Peter N. Ireland, 1999. "A Method for Taking Models to the Data," Boston College Working Papers in Economics 421, Boston College Department of Economics.
- Peter Ireland, 1999. "Matlab code for A Method for Taking Models to the Data," QM&RBC Codes 46, Quantitative Macroeconomics & Real Business Cycles.
- Brüggemann, Ralf & Jentsch, Carsten & Trenkler, Carsten, 2016.
"Inference in VARs with conditional heteroskedasticity of unknown form,"
Journal of Econometrics, Elsevier, vol. 191(1), pages 69-85.
- Ralf Brüggemann & Carsten Jentsch & Carsten Trenkler, 2014. "Inference in VARs with Conditional Heteroskedasticity of Unknown Form," Working Paper Series of the Department of Economics, University of Konstanz 2014-13, Department of Economics, University of Konstanz.
- Brüggemann, Ralf & Jentsch, Carsten & Trenkler, Carsten, 2014. "Inference in VARs with Conditional Heteroskedasticity of Unknown Form," Working Papers 14-21, University of Mannheim, Department of Economics.
- Gediminas Adomavicius & Jesse Bockstedt & Alok Gupta, 2012. "Modeling Supply-Side Dynamics of IT Components, Products, and Infrastructure: An Empirical Analysis Using Vector Autoregression," Information Systems Research, INFORMS, vol. 23(2), pages 397-417, June.
- Francisco F. R. Ramos, 1996. "Forecasting market shares using VAR and BVAR models: A comparison of their forecasting performance," Econometrics 9601003, University Library of Munich, Germany.
- Jonathan H. Wright, 2000. "Exact confidence intervals for impulse responses in a Gaussian vector autoregression," International Finance Discussion Papers 682, Board of Governors of the Federal Reserve System (U.S.).
- Jose Tavares & Rossen Valkanov, 2001. "The neglected effect of fiscal policy on stock and bond returns," Nova SBE Working Paper Series wp413, Universidade Nova de Lisboa, Nova School of Business and Economics.
- Kim, Soyoung & Roubini, Nouriel, 2000. "Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach," Journal of Monetary Economics, Elsevier, vol. 45(3), pages 561-586, June.
- Keuk-Soo Kim & W. Douglas McMillin, 2003.
"Estimating the effects of monetary policy shocks: does lag structure matter?,"
Applied Economics, Taylor & Francis Journals, vol. 35(13), pages 1515-1526.
- W. Douglas McMillin & Keuk-soo Kim, 2002. "Estimating the Effects of Monetary Policy Shocks: Does Lag Structure Matter?," Departmental Working Papers 2002-04, Department of Economics, Louisiana State University.
- Giulio Cifarelli & Giovanna Paladino, 2001.
"Volatility spillovers and the role of leading financial centres,"
Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 54(216), pages 37-71.
- Giulio Cifarelli & Giovanna Paladino, 2001. "Volatility spillovers and the role of leading financial centres," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 54(216), pages 37-71.
- Schenkelberg, Heike & Watzka, Sebastian, 2013.
"Real effects of quantitative easing at the zero lower bound: Structural VAR-based evidence from Japan,"
Journal of International Money and Finance, Elsevier, vol. 33(C), pages 327-357.
- Heike Schenkelberg & Sebastian Watzka, 2011. "Real Effects of Quantitative Easing at the Zero-Lower Bound: Structural VAR-based Evidence from Japan," CESifo Working Paper Series 3486, CESifo.
- Watzka, Sebastian & Schenkelberg, Heike, 2011. "Real effects of Quantitative Easing at the Zero-Lower Bound: Structural VAR-based evidence from Japan," VfS Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis 48687, Verein für Socialpolitik / German Economic Association.
- Schenkelberg, Heike & Watzka, Sebastian, 2013. "Real effects of quantitative easing at the zero lower bound: Structural VAR-based evidence from Japan," Munich Reprints in Economics 19757, University of Munich, Department of Economics.
- Hakan Berument & Nergiz Dincer, 2005.
"Denomination composition of trade and trade balance: evidence from Turkey,"
Applied Economics, Taylor & Francis Journals, vol. 37(10), pages 1177-1191.
- Hakan Berument & Nergiz Din er, 2005. "Denomination Composition of Trade and Trade Balance : Evidence from Turkey," Working Papers 0510, Department of Economics, Bilkent University.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedawp:95-6. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Rob Sarwark (email available below). General contact details of provider: https://edirc.repec.org/data/frbatus.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.