Finite Sample Properties of Impulse Response Intervals in SVECMs with Long-Run Identifying Restrictions
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More about this item
KeywordsStructural vector error correction model; impulse response intervals; cointegration; long-run restrictions; bootstrap;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-04-08 (All new papers)
- NEP-ECM-2006-04-08 (Econometrics)
- NEP-ETS-2006-04-08 (Econometric Time Series)
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