Inference for Impulse Response Coefficients From Multivariate Fractionally Integrated Processes
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References listed on IDEAS
- Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2005. "Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach," The Quarterly Journal of Economics, Oxford University Press, vol. 120(1), pages 387-422.
- Silvia Goncalves & Lutz Kilian, 2007. "Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity," Econometric Reviews, Taylor & Francis Journals, vol. 26(6), pages 609-641.
- Chung, Ching-Fan, 2002. "Sample Means, Sample Autocovariances, And Linear Regression Of Stationary Multivariate Long Memory Processes," Econometric Theory, Cambridge University Press, vol. 18(01), pages 51-78, February.
- Paparoditis, Efstathios, 1996. "Bootstrapping Autoregressive and Moving Average Parameter Estimates of Infinite Order Vector Autoregressive Processes," Journal of Multivariate Analysis, Elsevier, vol. 57(2), pages 277-296, May.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2016-05-08 (All new papers)
- NEP-ECM-2016-05-08 (Econometrics)
- NEP-ETS-2016-05-08 (Econometric Time Series)
- NEP-PKE-2016-05-08 (Post Keynesian Economics)
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