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.

Economics, Research and Development in the Social Sciences and Humanities, Analysis, Monte Carlo method, Monte Carlo methods, Confidence intervals

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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.

Econometrics & Model Building, Econometrics, Set theory, Dynamic programming, Business models

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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.

Economic lag

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