Bootstrapping smooth functions of slope parameters and innovation variances in VAR(∞) Models

International Economic Review

Volumn 43, Issue 2, 2002, Pages 309-331

  Inoue, Atsushi ^a   Kilian, Lutz ^a  

^a NORTH CAROLINA STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0036052883     PISSN: 00206598     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-2354.t01-1-00016     Document Type: Article

References (37)

1. Inflation and uncertainty at short and long time horizons
2. The fisher hypothesis and the forecastability and persistence of inflation
3. On the finite-sample accuracy of nonparametric resampling algorithms for economic time series
4. Recent developments in bootstrapping time series
5. Edgeworth correction by bootstrap in autoregression
6. Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions
7. Moving-average representations of autoregressive approximations
8. Sieve bootstrap for time series
9. Sources and Propagation of international output cycles: Common shocks or transmission?
10. Output dynamics in real-business cycle models
11. Business cycle analysis without much theory: A look at structural VARs
12. Money and the business cycle
13. Measuring predictability: Theory and macroeconomic applications
14. Dynamic equilibrium economies: A framework for comparing models and data
15. Bootstrapping regression models
16. Technology, employment, and the business cycle: Do technology shocks explain aggregate fluctuations?
17. Bootstrapping general empirical measures
18. Small-sample confidence intervals for impulse response functions
19. Finite-sample properties of percentile and percentile-t bootstrap confidence intervals for impulse responses
20. Money, prices, interest rates and the business cycle
21. Toward a modern macroeconomic model usable for policy analysis
22. Asymptotic distributions of impulse response functions and forecast error variance decompositions of vector autoregressive models
23. Estimating orthogonal impulse responses via vector autoregressive models
24. Asymptotic distributions of impulse responses, step responses, and variance decompositions of estimated linear dynamic models
25. Bootstrapping autoregressive and moving average parameter estimates of infinite order vector autoregressive processes
26. Order identification statistics in stationary autoregressive moving-average models: Vector autocorrelations and the bootstrap
27. Real-business cycle models and the forecastable movements in output, hours, and consumption
28. An optimization-based econometric framework for the evaluation of monetary policy
29. The international transmission of economic fluctuations: Effects of U.S. Business cycles on the Canadian economy
30. Measures of fit for calibrated models