Small-sample confidence intervals for impulse response functions
Article Abstract:
Bias-corrected bootstrap confidence intervals of the small-sample distribution of the impulse response estimator are likely to be more precise than delta method intervals, standard bootstrap intervals and Monte Carlo integration intervals. Such finding was obtained through Monte Carlo simulations for a variety of bivariate models. The same finding remains not only for VAR models estimated in levels and in first differences, but also for random walk processes and cointegration processes estimated in levels.
Publication Name: Review of Economics and Statistics
Subject: Mathematics
ISSN: 0034-6535
Year: 1998
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Temporal aggregation in dynamic linear models
Article Abstract:
The industrial production of Brazil is studied under different temporal aggregation periods and the results are contrasted in the study and forecasting of time series. It was found that the aggregation of observations have the capacity to affect the forecasting performance. The passage of time reduces the value of information.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 1997
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Impulse response analysis in vector autoregressions with unknown lag order
Article Abstract:
Research into macroeconomic dynamics focuses on the vector autoregressive model.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2001
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