메뉴 건너뛰기




Volumn 63, Issue 3, 1999, Pages 269-277

Frequency domain inference for univariate impulse responses

Author keywords

Bootstrap; Confidence intervals; Impulse responses; Spectrum

Indexed keywords


EID: 0033245292     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1765(99)00043-9     Document Type: Article
Times cited : (6)

References (17)
  • 3
    • 85042336359 scopus 로고
    • Estimation of the moving average representation of a stationary nondeterministic process
    • Bhansali R.J. Estimation of the moving average representation of a stationary nondeterministic process. Biometrika. 63:1976;408-410.
    • (1976) Biometrika , vol.63 , pp. 408-410
    • Bhansali, R.J.1
  • 7
    • 0000627534 scopus 로고
    • On bootstrapping kernel spectral estimates
    • Franke J., Härdle W. On bootstrapping kernel spectral estimates. Annals of Statistics. 20:1992;121-145.
    • (1992) Annals of Statistics , vol.20 , pp. 121-145
    • Franke, J.1    Härdle, W.2
  • 9
    • 0032275731 scopus 로고    scopus 로고
    • Small-Sample confidence intervals for impulse response functions
    • Kilian L. Small-Sample confidence intervals for impulse response functions. Review of Economics and Statistics. 80:1998;218-230.
    • (1998) Review of Economics and Statistics , vol.80 , pp. 218-230
    • Kilian, L.1
  • 11
    • 0009090003 scopus 로고    scopus 로고
    • Parameter uncertainty and impulse response analysis
    • Koop G. Parameter uncertainty and impulse response analysis. Journal of Econometrics. 72:1996;135-149.
    • (1996) Journal of Econometrics , vol.72 , pp. 135-149
    • Koop, G.1
  • 12
    • 0000831455 scopus 로고
    • Asymptotic distributions of impulse response functions and forecast error variance decompositions of vector autoregressive models
    • Lütkepohl H. Asymptotic distributions of impulse response functions and forecast error variance decompositions of vector autoregressive models. Review of Economics and Statistics. 72:1990;116-125.
    • (1990) Review of Economics and Statistics , vol.72 , pp. 116-125
    • Lütkepohl, H.1
  • 15
    • 0000856691 scopus 로고
    • On the fitting of multivariate autoregression and the approximate canonical factorisation of a spectral density matrix
    • Whittle P. On the fitting of multivariate autoregression and the approximate canonical factorisation of a spectral density matrix. Biometrika. 50:1963;129-134.
    • (1963) Biometrika , vol.50 , pp. 129-134
    • Whittle, P.1
  • 16
    • 0015489975 scopus 로고
    • The factorisation of matricial spectral densities
    • Wilson G.T. The factorisation of matricial spectral densities. SIAM Journal of Applied Mathematics. 23:1972;420-426.
    • (1972) SIAM Journal of Applied Mathematics , vol.23 , pp. 420-426
    • Wilson, G.T.1
  • 17
    • 0009163807 scopus 로고
    • Developments in multivariate covariance generation and factorization
    • T. Subba Rao. London: Chapman and Hall
    • Wilson G.T. Developments in multivariate covariance generation and factorization. Subba Rao T., Developments in Time Series Analysis. 1993;Chapman and Hall, London.
    • (1993) Developments in Time Series Analysis
    • Wilson, G.T.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.