메뉴 건너뛰기




Volumn 80, Issue 2, 1998, Pages 218-230

Small-sample confidence intervals for impulse response functions

(1)  Kilian, Lutz a  

a NONE

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0032275731     PISSN: 00346535     EISSN: None     Source Type: Journal    
DOI: 10.1162/003465398557465     Document Type: Article
Times cited : (562)

References (31)
  • 1
    • 0000305808 scopus 로고
    • Exactly median-unbiased estimation of first order autoregressive/unit root models
    • Jan.
    • Andrews, Donald W. K., "Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models," Econometrica 61 (Jan. 1993), 139-165.
    • (1993) Econometrica , vol.61 , pp. 139-165
    • Andrews, D.W.K.1
  • 2
    • 84952544089 scopus 로고
    • Approximately median-unbiased estimation of autoregressive models
    • Apr.
    • Andrews, Donald W. K., and Hong-Yuan Chen, "Approximately Median-Unbiased Estimation of Autoregressive Models," Journal of Business and Economic Statistics 12 (Apr. 1994), 187-204.
    • (1994) Journal of Business and Economic Statistics , vol.12 , pp. 187-204
    • Andrews, D.W.K.1    Chen, H.-Y.2
  • 4
    • 0002516839 scopus 로고
    • Inside the black box: The credit channel of monetary policy transmission
    • Fall
    • Bernanke, Ben S., and Mark Gertler, "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," Journal of Economic Perspectives 9 (Fall 1995), 27-48.
    • (1995) Journal of Economic Perspectives , vol.9 , pp. 27-48
    • Bernanke, B.S.1    Gertler, M.2
  • 5
    • 0001029192 scopus 로고
    • Edgeworth correction by bootstrap in autoregressions
    • Dec.
    • Bose, Arup, "Edgeworth Correction by Bootstrap in Autoregressions," Annals of Statistics 16 (Dec. 1988), 1709-1722.
    • (1988) Annals of Statistics , vol.16 , pp. 1709-1722
    • Bose, A.1
  • 11
    • 0000478478 scopus 로고
    • Federal credit, private credit, and economic activity
    • Nov.
    • Fackler, James S., "Federal Credit, Private Credit, and Economic Activity," Journal of Money, Credit, and Banking 22 (Nov. 1990), 444-464.
    • (1990) Journal of Money, Credit, and Banking , vol.22 , pp. 444-464
    • Fackler, J.S.1
  • 12
    • 0000091158 scopus 로고
    • Money, income, prices, and interest rates
    • June
    • Friedman, Benjamin M., and Kenneth N. Kuttner, "Money, Income, Prices, and Interest Rates," American Economic Review 82 (June 1992), 472-192.
    • (1992) American Economic Review , vol.82 , pp. 472-1192
    • Friedman, B.M.1    Kuttner, K.N.2
  • 17
    • 0005458491 scopus 로고
    • Asymptotic distributions of impulse responses, step responses, and variance decompositions of estimated linear dynamic models
    • July
    • Mittnik, Stefan, and Peter A. Zadrozny, "Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models," Econometrica 61 (July 1993), 857-870.
    • (1993) Econometrica , vol.61 , pp. 857-870
    • Mittnik, S.1    Zadrozny, P.A.2
  • 18
    • 0000875714 scopus 로고
    • Bias in the estimation of multivariate autoregressions
    • May
    • Nicholls, D. F., and A. L. Pope, "Bias in the Estimation of Multivariate Autoregressions," Australian Journal of Statistics 30A (May 1988), 296-309.
    • (1988) Australian Journal of Statistics , vol.30 A , pp. 296-309
    • Nicholls, D.F.1    Pope, A.L.2
  • 19
    • 0039162062 scopus 로고
    • Impulse response and forecast error variance asymptotics in nonstationary VAR's
    • June
    • Phillips, Peter C. B., "Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's," Cowles Foundation Discussion Paper 1102 (June 1995).
    • (1995) Cowles Foundation Discussion Paper , vol.1102
    • Phillips, P.C.B.1
  • 21
    • 84981389640 scopus 로고
    • Biases of estimators in multivariate non-gaussian autoregressions
    • _ "Biases of Estimators in Multivariate Non-Gaussian Autoregressions," Journal of Time Series Analysis 11 (1990), 249-258.
    • (1990) Journal of Time Series Analysis , vol.11 , pp. 249-258
  • 22
    • 0000031376 scopus 로고
    • Trends and random walks in macroeconomic time series: A re-examination
    • Aug.
    • Rudebusch, Glenn D., "Trends and Random Walks in Macroeconomic Time Series: A Re-Examination," International Economic Review 33 (Aug. 1992), 661-680.
    • (1992) International Economic Review , vol.33 , pp. 661-680
    • Rudebusch, G.D.1
  • 23
    • 0001165719 scopus 로고
    • The uncertain unit root in real GNP
    • Mar.
    • _ "The Uncertain Unit Root in Real GNP," The American Economic Review 83 (Mar. 1993), 264-272.
    • (1993) The American Economic Review , vol.83 , pp. 264-272
  • 27
    • 44049115762 scopus 로고
    • Interpreting the macroeconomic time series facts: The effects of monetary policy
    • June
    • _ "Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy," European Economic Review 36 (June 1992), 975-1011.
    • (1992) European Economic Review , vol.36 , pp. 975-1011
  • 29
    • 0001220102 scopus 로고
    • Estimating properties of autoregressive forecasts
    • Dec.
    • Stine, Robert A., "Estimating Properties of Autoregressive Forecasts," Journal of the American Statistical Association 82 (Dec. 1987), 1072-1078.
    • (1987) Journal of the American Statistical Association , vol.82 , pp. 1072-1078
    • Stine, R.A.1
  • 31
    • 0000877685 scopus 로고
    • Bias of some commonly-used time series estimates
    • Aug.
    • Tjøstheim, Dag, and Jostein Paulsen, "Bias of Some Commonly-Used Time Series Estimates," Biometrika 70 (Aug. 1983), 389-399.
    • (1983) Biometrika , vol.70 , pp. 389-399
    • Tjøstheim, D.1    Paulsen, J.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.