Search Results

Local projection variance impulse response,
Hiroyuki Kawakatsu, in Empirical Economics (2022)
Keywords: Impulse response, Local projection, Realized variance, Instrumental variables

Asymmetric volatility impulse response functions,
Christian Hafner and Helmut Herwartz, from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2022)
Keywords: Multivariate GARCH ; leverage effect ; volatility impulse response analysis ; safe haven

Projection estimators for structural impulse responses,
Jörg Breitung and Ralf Brüggemann, from Department of Economics, University of Konstanz (2019)
Keywords: structural vector autoregressive models, impulse responses, local projections

Impulse-Response Analysis in a Simple DSGE Framework,
Leonte Alexandru, in Ovidius University Annals, Economic Sciences Series (2010)
Keywords: DSGE, impulse-response analysis, real business cycle.

Is Economic Recovery a Myth? Robust Estimation of Impulse Responses,
C. N. Teulings and Nick Zubanov, from C.E.P.R. Discussion Papers (2010)
Keywords: Banking crisis; Impulse response; Panel data

On Priors for Impulse Responses in Bayesian Structural VAR Models,
Andrzej Kocięcki, from University Library of Munich, Germany (2003)
Keywords: impulse responses Structural VAR bayesian analysis

Volatility impulse response functions for multivariate GARCH models,
Christian Hafner and Helmut Herwartz, from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2001)
Keywords: Multivariate GARCH, impulse response, exchange rate, volatility

Impulse Response Estimation By Smooth Local Projections,
Régis Barnichon and Christian Brownlees, from C.E.P.R. Discussion Papers (2016)
Keywords: Impulse response; Local projections; Semiparametric estimation

Is Economic Recovery a Myth? Robust Estimation of Impulse Responses,
C. N. Teulings and Nick Zubanov, from CESifo (2010)
Keywords: banking crisis, impulse response, panel data

Impulse response matching estimators for DSGE models,
Pablo Guerron, Atsushi Inoue and Lutz Kilian, in Journal of Econometrics (2017)
Keywords: DSGE; VAR; Impulse response; Bootstrap; Weak identification;

Is Economic Recovery a Myth? Robust Estimation of Impulse Responses,
Coen N. Teulings and Nick Zubanov, from Tinbergen Institute (2011)
Keywords: banking crisis; impulse response; panel data

Real or nominal variables, does it matter for the impulse response?,
Peter Reusens and Christophe Croux, from KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven (2015)
Keywords: Impulse response, Linear transformation, Vector autoregression

Averaging impulse responses using prediction pools,
Paul Ho, Thomas A. Lubik and Christian Matthes, in Journal of Monetary Economics (2024)
Keywords: Prediction pools; Model averaging; Impulse responses; Misspecification;

Averaging Impulse Responses Using Prediction Pools,
Paul Ho, Thomas Lubik and Christian Matthes, from Federal Reserve Bank of Richmond (2023)
Keywords: prediction pools; model averaging; impulse responses; misspecification

Global food and energy markets: volatility transmission and impulse response effects,
Ibrahim Onour and Bruno Sergi, from University Library of Munich, Germany (2011)
Keywords: Volatility, global food, impulse response

Use of Impulse Response Instrument in Concrete Pavement: A Review,
Shrikant M Harle and Prakash S Pajgade, in Journal of Asian Scientific Research (2017)
Keywords: Impulse response, Concrete roads, ASTM, Flexible pavement, NDT, Cracks, Response.

Generalized Impulse Response Analysis: General or Extreme?,
Hyeongwoo Kim, from Department of Economics, Auburn University (2012)
Keywords: Generalized Impulse Response Function; Orthogonalized Impulse Response Function; Vector Autoregressive Models

Generalized impulse response analysis: General or Extreme?,
Hyeongwoo Kim, in EconoQuantum, Revista de Economia y Finanzas (2013)
Keywords: Generalized Impulse Response Function; Orthogonalized Impulse Response Function; Vector Autoregressive Models.

Generalized Impulse Response Analysis: General or Extreme?,
Hyeongwoo Kim, from University Library of Munich, Germany (2009)
Keywords: Generalized Impulse Response Function; Orthogonalized Impulse Response Function; Vector Autoregressive Models

Structural Volatility Impulse Response Analysis,
Matthias Fengler and Jeannine Polivka, from Swiss Finance Institute (2024)
Keywords: causality in volatility, multivariate GARCH models, proxy identification, structural identification, volatility impulse response functions

Structural Volatility Impulse Response Analysis,
Matthias Fengler and Jeannine Polivka, from University of St. Gallen, School of Economics and Political Science (2022)
Keywords: causality in volatility, multivariate GARCH models, proxy identification, structural identification, volatility impulse response functions

Identification of Sign-Dependency of Impulse Responses,
Nadav Ben Zeev, from Ben-Gurion University of the Negev, Department of Economics (2019)
Keywords: Sign-dependency of impulse responses, Local projections, Second-order specification, Dichotomous specification

Optimal communications with infinite impulse response matched filters,
Marko S. Milosavljevic, Ned J. Corron and Jonathan N. Blakely, in Chaos, Solitons & Fractals (2020)
Keywords: Communication theory; Infinite impulse response; Matched filter; Chaos; Chaotic waveform;

Impulse-response analysis of the market share attraction model,
Dennis Fok and Philip Hans Franses, from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1999)
Keywords: attraction models, forecasting, impulse-response analysis, market shares

Simultaneous Indirect Inference, Impulse Responses and ARMA Models,
Lynda Khalaf and Beatriz Peraza López, in Econometrics (2020)
Keywords: Indirect Inference; ARMA; Impulse-Response; Monte Carlo test; Root Cancelation

Impulse response analysis and Orcutt’s hypothesis in trade,
Mohsen Bahmani-Oskooee and Esmaeil Ebadi, in Empirica (2015)
Keywords: Orcutt’s hypothesis, Industrial countries, Impulse response, Trade flows, F31,

Volatility impulse response functions for multivariate GARCH models,
Christian Hafner and Helmut Herwartz, from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1998)
Keywords: Multivariate GARCH, impulse response functions, exchange rate volatility.

Reducing confidence bands for simulated impulse responses,
Helmut Lütkepohl, in Statistical Papers (2013)
Keywords: Vector autoregressive process, Impulse responses, Bootstrap, Bayesian estimation,

The uniform validity of impulse response inference in autoregressions,
Atsushi Inoue and Lutz Kilian, from Vanderbilt University Department of Economics (2019)
Keywords: Impulse response, autoregression, lag augmentation, asymptotic normality, bootstrap, uniform inference

The uniform validity of impulse response inference in autoregressions,
Atsushi Inoue and Lutz Kilian, in Journal of Econometrics (2020)
Keywords: Impulse response; Autoregression; Lag augmentation; Asymptotic normality; Bootstrap; Uniform inference;

Reducing Confidence Bands for Simulated Impulse Responses,
Helmut Lütkepohl, from DIW Berlin, German Institute for Economic Research (2012)
Keywords: Vector autoregressive process, impulse responses, bootstrap, Bayesian estimation

The Uniform Validity of Impulse Response Inference in Autoregressions,
Atsushi Inoue and Lutz Kilian, from Federal Reserve Bank of Dallas (2019)
Keywords: Impulse response; autoregression; lag augmentation; asymptotic normality; bootstrap; uniform inference

Nonlinear Impulse Response Function for Dichotomous Models,
Quentin Lajaunie, from Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2021)
Keywords: , Impulse response functions, Dichotomous model, Recession prediction, Economic cycles

Local linear impulse responses for a small open economy,
Alfred Haug and Christie Smith, from University of Otago, Department of Economics (2007)
Keywords: Local linear projection-based impulse responses; structural identiÞcation for New Zealand

Investigating the impulse responses of renewable energy in the context of China: A Bayesian VAR Approach,
Mohammad Jalal Uddin, in Renewable Energy (2023)
Keywords: China; Impulse response function; Renewable energy;

Linearly Transforming Variables in the VAR Model, How Does it Change the Impulse Response?,
Reusens Peter and Croux Christophe, in Journal of Econometric Methods (2018)
Keywords: impulse response, linear transformation, vector autoregression

Impulse Response Confidence Intervals for Persistent Data: What Have We Learned?,
Elena Pesavento and Barbara Rossi, from Duke University, Department of Economics (2006)
Keywords: Local to unity asymptotics, persistence, impulse response functions

SVARSIRF: Stata module to compute structural impulse response function after SVAR,
Gregorio Impavido, from Boston College Department of Economics (2015)
Keywords: structural VAR, impulse response function, IRF

Impulse Response Confidence Intervals for Persistent Data: What Have We Learned?,
Elena Pesavento, from European University Institute (2006)
Keywords: Local to unity asymptotics, persistence, impulse response functions

MONTEVAR: RATS procedure to perform Monte Carlo Integration of VAR Impulse Response confidence bands,
Tom Doan, from Boston College Department of Economics
Keywords: Error bands for impulse response functions

Asymptotic distributions of impulse response functions in short panel vector autoregressions,
Bolong Cao and Yixiao Sun, in Journal of Econometrics (2011)
Keywords: Asymptotic distribution Bootstrap Nonorthogonalized impulse response function Orthogonalized impulse response function Panel data Vector autoregressions

Impulse Response Priors for Discriminating Structural Vector Autoregressions,
Mark Dwyer, from University Library of Munich, Germany (1998)
Keywords: Structural Vector Autoregression, Exact Identification, Impulse Responses, Priors, Bayes Factors, Importance Sampling, Monetary Policy

Nonparametric estimation of generalized impulse response function,
Rolf Tschernig and Lijian Yang, from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000)
Keywords: Confidence intervals, general impulse response function, heteroskedasticity, local polynomial, multi-stage predictor, nonlinear autoregression, plug-in bandwidth.

Confidence bands for impulse responses: Bonferroni versus Wald,
Helmut Lütkepohl, Anna Staszewska-Bystrova and Peter Winker, from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2014)
Keywords: Impulse responses, Bayesian error bands, frequentist con dence bands, Wald statistic, vector autoregressive process

Confidence Bands for Impulse Responses: Bonferroni versus Wald,
Helmut Lütkepohl, Anna Staszewska-Bystrova and Peter Winker, from CESifo (2014)
Keywords: impulse responses, Bayesian error bands, frequentist confidence bands, Wald statistic, vector autoregressive process

Impulse response matching estimators for DSGE models,
Pablo Guerron, Atsushi Inoue and Lutz Kilian, from Vanderbilt University Department of Economics (2014)
Keywords: Structural estimation, DSGE, VAR, impulse response, nonstandard asymptotics, bootstrap, weak identification, robust inference

Inference on Impulse Response Functions in Structural VAR Models,
Lutz Kilian and Atsushi Inoue, from C.E.P.R. Discussion Papers (2011)
Keywords: Credible set; Impulse responses; Median; Mode; Sign restrictions; Simultaneous inference; Vector autoregression

Joint Confidence Sets for Structural Impulse Responses,
Lutz Kilian and Atsushi Inoue, from C.E.P.R. Discussion Papers (2014)
Keywords: Bootstrap; Confidence regions; Degenerate limiting distribution; Impulse response shapes; Joint inference; Shotgun plots

Impulse Response Matching Estimators for DSGE Models,
Lutz Kilian, Atsushi Inoue and Pablo Guerron, from C.E.P.R. Discussion Papers (2014)
Keywords: Structual estimation; Dsge; Var; Impulse response; Nonstandard asymptotics; Bootstrap; Weak identification; Robust inference

Stock Prices and Monetary Policy: An Impulse Response Analysis,
Guglielmo Maria Caporale and Alaa Soliman, in International Journal of Economics and Financial Issues (2013)
Keywords: Asset Prices; Stock Market; Monetary Policy; Impulse Response Analysis; VECM; VAR

Inference on impulse response functions in structural VAR models,
Atsushi Inoue and Lutz Kilian, in Journal of Econometrics (2013)
Keywords: Vector autoregression; Simultaneous inference; Impulse responses; Sign restrictions; Median; Mode; Credible set;

Joint confidence sets for structural impulse responses,
Atsushi Inoue and Lutz Kilian, in Journal of Econometrics (2016)
Keywords: Joint inference; Shotgun plots; Confidence bands; Impulse response shapes; Bootstrap; Degenerate limiting distribution;

Impulse response matching estimators for DSGE models,
Pablo Guerron, Atsushi Inoue and Lutz Kilian, from Center for Financial Studies (CFS) (2014)
Keywords: structural estimation, DSGE, VAR, impulse response, nonstandard asymptotics, bootstrap, weak identification, robust inference

Joint Confidence Sets for Structural Impulse Responses,
Atsushi Inoue and Lutz Kilian, from CESifo (2016)
Keywords: joint inference, shotgun plots, confidence bands, impulse response shapes, bootstrap, degenerate limiting distribution

Impulse Response Matching Estimators for DSGE Models,
Pablo Guerron, Atsushi Inoue and Lutz Kilian, from CESifo (2016)
Keywords: structural estimation, DSGE, VAR, impulse response, nonstandard asymptotics, bootstrap, weak identification, robust inference

Impulse Response Matching Estimators for DSGE Models,
Pablo Guerron, Atsushi Inoue and Lutz Kilian, from Hitotsubashi Institute for Advanced Study, Hitotsubashi University (2016)
Keywords: Structural estimation, DSGE, VAR, impulse response, nonstandard asymptotics, bootstrap, weak identification, robust inference.

Inference for structural impulse responses in SVAR-GARCH models,
Stefan Bruder, from Department of Economics - University of Zurich (2018)
Keywords: Bootstrap, conditional heteroskedasticity, multivariate GARCH, structural impulse responses, structural vector autoregression

Confidence Bands for Impulse Responses: Bonferroni versus Wald,
Helmut Lütkepohl, Anna Staszewska-Bystrova and Peter Winker, from DIW Berlin, German Institute for Economic Research (2014)
Keywords: Impulse responses, Bayesian error bands, frequentist confidence bands, Wald statistic, vector autoregressive process

Impulse Response Functions for Self-Exciting Nonlinear Models,
Neville Francis, Michael Owyang and Daniel Soques, from Federal Reserve Bank of St. Louis (2023)
Keywords: generalized impulse response functions; threshold models; regime switching models; model averaging

Local Projections and VARs Estimate the Same Impulse Responses,
Mikkel Plagborg-Møller and Christian Wolf, from Princeton University. Economics Department. (2020)
Keywords: external instrument, impulse response function, local projection, proxy variable, structural vector autoregression

An algorithm for generalized impulse-response functions in Markov-switching structural VAR,
Frédéric Karamé, from HAL (2012)
Keywords: Generalized impulse-response function,Markov-switching regime,Structural VAR

VAR and generalized impulse response analysis of manufacturing unit labor costs,
Bradley Ewing and Mark A. Thompson, in Physica A: Statistical Mechanics and its Applications (2008)
Keywords: Time series; VAR; Impulse response; Unit labor costs; Systems;

The Rise of the Housing-Wealth Effect: Counterfactual Impulse Response Analysis,
Ryan Brady, Derek Stimel and Steven Sumner, in Review of Economics & Finance (2014)
Keywords: Wealth effect; Housing; Impulse response function; Consumption; Linear projection

An algorithm for generalized impulse-response functions in Markov-switching structural VAR,
Frédéric Karamé, in Economics Letters (2012)
Keywords: Structural VAR; Markov-switching regime; Generalized impulse-response function;

Problems related to confidence intervals for impulse responses of autoregressive processes,
Alexander Benkwitz, Michael Neumann and Helmut Lutekpohl, in Econometric Reviews (2000)
Keywords: impulse response, bootstrap, autoregressive process, asymptotic inference, nonparametric inference,

Impulse response function analysis for Markov switching var models,
Maddalena Cavicchioli, in Economics Letters (2023)
Keywords: Markov switching; Vector autoregression; Impulse response function; State-space representation;

Flexible prior beliefs on impulse responses in Bayesian vector autoregressive models,
Fabio Canova, Andrzej Kocięcki and Michele Piffer, from C.E.P.R. Discussion Papers (2024)
Keywords: Non-dogmatic beliefs; Impulse responses; Monetary policy; Identification; Structural shocks

Joint Inference and Counterfactual experimentation for Impulse Response Functions by Local Projections,
Oscar Jorda, from University of California, Davis, Department of Economics (2007)
Keywords: impulse response, local projection, conditional confidence bands, counterfactual

Multivariate Volatility Impulse Response Analysis of GFC News Events,
David Allen, Michael McAleer, Robert Powell and Abhay Singh, from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2015)
Keywords: volatiltity impulse response functions (VIRF), BEKK, DBEKK, asymmetry, GFC, ESDC

Another Look at Z-transform Technique for Deriving Unit Impulse Response Function,
R. Rai, M. Jain, S. Mishra, C. Ojha and V. Singh, in Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA) (2007)
Keywords: ARMA, transfer function, unit impulse response function, Z-transform,

Modeling the impulse response complex network for studying the fluctuation transmission of price indices,
Qingru Sun, Xiangyun Gao, Shaobo Wen, Sida Feng and Ze Wang, in Journal of Economic Interaction and Coordination (2019)
Keywords: Econophysics, Complex network, Impulse response function, Fluctuation transmission, Price index

Small Sample Confidence Intervals for Multivariate Impulse Response Functions at Long Horizons,
Barbara Rossi and Elena Pesavento, from C.E.P.R. Discussion Papers (2004)
Keywords: Local to unity asymptotics; Persistence; Impulse response functions; Vars

Small sample confidence intervals for multivariate impulse response functions at long horizons,
Barbara Rossi and Elena Pesavento, from Econometric Society (2004)
Keywords: Local to unity asymptotics, persistence, impulse response functions, confidence bands

Estimating Impulse-Response Functions for Macroeconomic Models using Directional Quantiles,
Gabriel Montes-Rojas, in Journal of Time Series Econometrics (2022)
Keywords: impulse-response functions, vector autoregressive models, multivariate quantiles, pass-through

Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems,
Alexander Benkwitz, Helmut Lütkepohl and Juergen Wolters, from C.E.P.R. Discussion Papers (1999)
Keywords: Bootstrap; Impulse Response; Monetary Policy; Money Demand System

Comparison of bootstrap confidence intervals for impulse responses of German monetary systems,
Alexander Benkwitz, Helmut Lütkepohl and Juergen Wolters, from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1999)
Keywords: monetary policy, bootstrap, impulse response, money demand system

Comparison of methods for constructing joint confidence bands for impulse response functions,
Helmut Lütkepohl, Anna Staszewska-Bystrova and Peter Winker, from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2013)
Keywords: Vector autoregressive process, impulse responses, bootstrap, confidence band

Generalized impulse response analysis in a fractionally integrated vector autoregressive model,
Hung Do, Robert Brooks and Sirimon Treepongkaruna, in Economics Letters (2013)
Keywords: Generalized impulse response; Fractionally integrated VAR model; Long memory;

Constructing joint confidence bands for impulse response functions of VAR models – A review,
Helmut Lütkepohl, Anna Staszewska-Bystrova and Peter Winker, in Econometrics and Statistics (2020)
Keywords: Impulse responses; Vector autoregressive model; Joint confidence bands;

Comparison of methods for constructing joint confidence bands for impulse response functions,
Helmut Lütkepohl, Anna Staszewska-Bystrova and Peter Winker, in International Journal of Forecasting (2015)
Keywords: Vector autoregressive process; Impulse responses; Bootstrap; Confidence band;

Investigating the U.S. Oil-Macroeconomy Nexus using Rolling Impulse Responses,
Marc Gronwald, from CESifo (2009)
Keywords: oil price, vector autoregressions, rolling impulse responses, Great Moderation

Multivariate Volatility Impulse Response Analysis of GFC News Events,
David Allen, Michael McAleer, Robert Powell and Abhay K. Singh, from Tinbergen Institute (2015)
Keywords: Volatility impulse response functions (VIRF), BEKK, DBEKK, Asymmetry, GFC, ESDC

Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review,
Helmut Lütkepohl, Anna Staszewska-Bystrova and Peter Winker, from University of Lodz, Faculty of Economics and Sociology (2018)
Keywords: Impulse responses, vector autoregressive model, joint confidence bands

The Impact on Forecasts and Impulse Responses of Restricting Drift in a Vector Autoregression,
John Landon-Lane, from Rutgers University, Department of Economics (2001)
Keywords: Forecasts; Impulse Response Function; Markov chain Monte Carlo; Vector Autoregression;

Multivariate Volatility Impulse Response Analysis of GFC News Events,
David Allen, Michael McAleer, Robert Powell and Abhay K. Singh, from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2015)
Keywords: Volatility impulse response functions (VIRF); BEKK; DBEKK; Asymmetry; GFC; ESDC.

Balanced bootstrap joint confidence bands for structural impulse response functions,
Stefan Bruder and Michael Wolf, from Department of Economics - University of Zurich (2018)
Keywords: Bootstrap, impulse response functions, joint confidence bands, vector autoregressive process

Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions,
Helmut Lütkepohl, Anna Staszewska-Bystrova and Peter Winker, from DIW Berlin, German Institute for Economic Research (2013)
Keywords: Vector autoregressive process, impulse responses, bootstrap, confidence band

Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review,
Helmut Lütkepohl, Anna Staszewska-Bystrova and Peter Winker, from DIW Berlin, German Institute for Economic Research (2018)
Keywords: Impulse responses, vector autoregressive model, joint confidence bands

Asymmetric Properties of Impulse Response Functions in Markov-Switching Structural Vector AutoRegressions,
Frédéric Karamé and Alexandra Olmedo, from Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne (2010)
Keywords: Structural VAR, Markov-switching model, asymmetries, impulse response function

An Algorithm for Generalized Impulse-Response Functions in Markov-Switching Structural VAR,
Frédéric Karamé, from Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne (2012)
Keywords: structural VAR, Markov-switching regime, generalized impulse-response function