Impulse Response Confidence Intervals for Persistent Data: What Have We Learned?
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- Pesavento, Elena & Rossi, Barbara, 2007. "Impulse response confidence intervals for persistent data: What have we learned?," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2398-2412, July.
- Pesavento, Elena & Rossi, Barbara, 2006. "Impulse Response Confidence Intervals for Persistent Data: What Have We Learned?," Working Papers 06-03, Duke University, Department of Economics.
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- Richard T. Baillie & George Kapetanios & Fotis Papailias, 2015. "Inference for Impulse Response Coefficients From Multivariate Fractionally Integrated Processes," Working Paper series 15-46, Rimini Centre for Economic Analysis.
- Neil Kellard & Denise Osborn & Jerry Coakley & Simone D. Grose & Gael M. Martin & Donald S. Poskitt, 2015.
"Bias Correction of Persistence Measures in Fractionally Integrated Models,"
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- Simone D. Grose & Gael M. Martin & Donald S. Poskitt, 2013. "Bias Correction of Persistence Measures in Fractionally Integrated Models," Monash Econometrics and Business Statistics Working Papers 29/13, Monash University, Department of Econometrics and Business Statistics.
- Simone D. Grose & Gael M. Martin & D.S. Poskitt, 2014. "Bias Correction of Persistence Measures in Fractionally Integrated Models," Monash Econometrics and Business Statistics Working Papers 19/14, Monash University, Department of Econometrics and Business Statistics.
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- Jesus Fernandez-Villaverde & Juan Rubio-RamÃrez & Frank Schorfheide, 2015. "Solution and Estimation Methods for DSGE Models," PIER Working Paper Archive 15-042, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 09 Dec 2015.
- Jesús Fernández-Villaverde & Juan F. Rubio Ramírez & Frank Schorfheide, 2016. "Solution and Estimation Methods for DSGE Models," NBER Working Papers 21862, National Bureau of Economic Research, Inc.
- Rubio-RamÃrez, Juan Francisco & Schorfheide, Frank & Fernández-Villaverde, Jesús, 2015. "Solution and Estimation Methods for DSGE Models," CEPR Discussion Papers 11032, C.E.P.R. Discussion Papers.
- K. Azim Ozdemir, 2015. "Interest Rate Surprises and Transmission Mechanism in Turkey: Evidence from Impulse Response Analysis," Working Papers 1504, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Òscar Jordà & Alan M. Taylor, 2024.
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- Òscar Jordà & Alan M. Taylor, 2024. "Local Projections," Working Paper Series 2024-24, Federal Reserve Bank of San Francisco.
- Inoue, Atsushi & Kilian, Lutz, 2020.
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- Atsushi Inoue & Lutz Kilian, 2019. "The uniform validity of impulse response inference in autoregressions," Vanderbilt University Department of Economics Working Papers 19-00001, Vanderbilt University Department of Economics.
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- Kilian, Lutz & Kim, Yun Jung, 2009. "Do Local Projections Solve the Bias Problem in Impulse Response Inference?," CEPR Discussion Papers 7266, C.E.P.R. Discussion Papers.
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- Lieb, Lenard & Smeekes, Stephan, 2017. "Inference for Impulse Responses under Model Uncertainty," Research Memorandum 022, Maastricht University, Graduate School of Business and Economics (GSBE).
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More about this item
Keywords
Local to unity asymptotics; persistence; impulse response functions;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
Statistics
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