The uniform validity of impulse response inference in autoregressions
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- Inoue, Atsushi & Kilian, Lutz, 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.
References listed on IDEAS
- Atsushi Inoue & Lutz Kilian, 2002.
"Bootstrapping Autoregressive Processes with Possible Unit Roots,"
Econometric Society, vol. 70(1), pages 377-391, January.
- Atsushi Inoue & Lutz Kilian, 2000. "Bootstrapping Autoregressive Processes with Possible Unit Roots," Econometric Society World Congress 2000 Contributed Papers 0401, Econometric Society.
- Bauer, Dietmar & Maynard, Alex, 2012. "Persistence-robust surplus-lag Granger causality testing," Journal of Econometrics, Elsevier, vol. 169(2), pages 293-300.
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- Phillips, Peter C.B. & Lee, Ji Hyung, 2016. "Robust econometric inference with mixed integrated and mildly explosive regressors," Journal of Econometrics, Elsevier, vol. 192(2), pages 433-450.
- Anna Mikusheva, 2012. "One‐Dimensional Inference in Autoregressive Models With the Potential Presence of a Unit Root," Econometrica, Econometric Society, vol. 80(1), pages 173-212, January.
- Lutz Kilian, 1999. "Finite-Sample Properties of Percentile and Percentile-t Bootstrap Confidence Intervals for Impulse Responses," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 652-660, November.
- Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
- Alexander Benkwitz & Michael Neumann & Helmut Lutekpohl, 2000. "Problems related to confidence intervals for impulse responses of autoregressive processes," Econometric Reviews, Taylor & Francis Journals, vol. 19(1), pages 69-103.
- 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.
- repec:cup:cbooks:9781316647332 is not listed on IDEAS
- repec:bpj:jecome:v:8:y:2019:i:1:p:19:n:9 is not listed on IDEAS
- Kilian, Lutz & Chang, Pao-Li, 2000. "How accurate are confidence intervals for impulse responses in large VAR models?," Economics Letters, Elsevier, vol. 69(3), pages 299-307, December.
- repec:cup:cbooks:9781107196575 is not listed on IDEAS
- Kasy Maximilian, 2019. "Uniformity and the Delta Method," Journal of Econometric Methods, De Gruyter, vol. 8(1), pages 1-19, January.
- repec:eee:econom:v:203:y:2018:i:2:p:316-327 is not listed on IDEAS
- Nankervis, J C & Savin, N E, 1988. "The Student's t Approximation in a Stationary First Order Autoregressive Model," Econometrica, Econometric Society, vol. 56(1), pages 119-145, January.
More about this item
Keywordsbootstrap; delta methods; lag augmentation;
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2019-04-08 (Econometrics)
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