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~subject:"vector autoregressive process"
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vector autoregressive process
impulse responses
117
VAR-Modell
52
VAR model
47
Impulse responses
45
Schätzung
36
Estimation
30
Estimation theory
25
Schätztheorie
25
Monetary policy
23
Schock
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Global VAR (GVAR)
22
Shock
21
Geldpolitik
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Time series analysis
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Zeitreihenanalyse
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Impulse Responses
18
Welt
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global macroeconomic modeling
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monetary policy
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Theorie
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World
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cointegration
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Bayesian error bands
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Cointegration
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Impact assessment
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Wald statistic
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Wirkungsanalyse
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Bayes-Statistik
9
Bayesian inference
9
Theory
9
bootstrap
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interconnectedness
9
joint confidence bands
9
USA
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Vector autoregressive process
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frequentist confidence bands
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international business cycle
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Forecasting model
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Staszewska-Bystrova, Anna
17
Winker, Peter
17
Lütkepohl, Helmut
16
Luetkepohl, Helmut
7
Lanne, Markku
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CESifo
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Department of Economics, European University Institute
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DIW Berlin (Deutsches Institut für Wirtschaftsforschung)
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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EconStor
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ECONIS (ZBW)
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Calculating joint confidence bands for impulse response functions using highest density regions
Lütkepohl, Helmut
;
Staszewska-Bystrova, Anna
;
Winker, Peter
-
2016
This paper proposes a new non-parametric method of constructing joint confidence bands for impulse response functions of vector autoregressive models. The estimation uncertainty is captured by means of bootstrapping and the highest density region (HDR) approach is used to construct the bands. A...
Persistent link: https://www.econbiz.de/10011449884
Saved in:
2
Calculating joint confidence bands for impulse response functions using highest density regions
Lütkepohl, Helmut
;
Staszewska-Bystrova, Anna
;
Winker, Peter
-
2016
This paper proposes a new non-parametric method of constructing joint confidence bands for impulse response functions of vector autoregressive models. The estimation uncertainty is captured by means of bootstrapping and the highest density region (HDR) approach is used to construct the bands. A...
Persistent link: https://www.econbiz.de/10011516886
Saved in:
3
Calculating joint confidence bands for impulse response functions using highest density regions
Lütkepohl, Helmut
;
Staszewska-Bystrova, Anna
;
Winker, Peter
-
2016
This paper proposes a new non-parametric method of constructing joint con- dence bands for impulse response functions of vector autoregressive models. The estimation uncertainty is captured by means of bootstrapping and the highest density region (HDR) approach is used to construct the bands. A...
Persistent link: https://www.econbiz.de/10011531893
Saved in:
4
Calculating joint confidence bands for impulse response functions using highest density regions
Lütkepohl, Helmut
;
Staszewska-Bystrova, Anna
;
Winker, Peter
-
2016
This paper proposes a new non-parametric method of constructing joint con- dence bands for impulse response functions of vector autoregressive models. The estimation uncertainty is captured by means of bootstrapping and the highest density region (HDR) approach is used to construct the bands. A...
Persistent link: https://www.econbiz.de/10011452908
Saved in:
5
Calculating joint confidence bands for impulse response functions using highest density regions
Lütkepohl, Helmut
;
Staszewska-Bystrova, Anna
;
Winker, Peter
-
2016
This paper proposes a new non-parametric method of constructing joint confidence bands for impulse response functions of vector autoregressive models. The estimation uncertainty is captured by means of bootstrapping and the highest density region (HDR) approach is used to construct the bands. A...
Persistent link: https://www.econbiz.de/10011442327
Saved in:
6
Calculating joint confidence bands for impulse response functions using highest density regions
Lütkepohl, Helmut
;
Staszewska-Bystrova, Anna
;
Winker, Peter
-
2016
This paper proposes a new non-parametric method of constructing joint confidence bands for impulse response functions of vector autoregressive models. The estimation uncertainty is captured by means of bootstrapping and the highest density region (HDR) approach is used to construct the bands. A...
Persistent link: https://www.econbiz.de/10011446084
Saved in:
7
Confidence Bands for
Impulse
Responses
: Bonferroni versus Wald
Lütkepohl, Helmut
;
Staszewska-Bystrova, Anna
;
Winker, Peter
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2014
these considerations are equally important for constructing forecast bands, we focus on the case of
impulse
responses
in …
Persistent link: https://www.econbiz.de/10010734527
Saved in:
8
Confidence Bands for
Impulse
Responses
: Bonferroni versus Wald
Luetkepohl, Helmut
;
Staszewska-Bystrova, Anna
;
Winker, Peter
-
CESifo
-
2014
these considerations are equally important for constructing forecast bands, we focus on the case of
impulse
responses
in …
Persistent link: https://www.econbiz.de/10010741316
Saved in:
9
Confidence Bands for
Impulse
Responses
: Bonferroni versus Wald
Lütkepohl, Helmut
;
Staszewska-Bystrova, Anna
;
Winker, Peter
-
DIW Berlin (Deutsches Institut für Wirtschaftsforschung)
-
2014
these considerations are equally important for constructing forecast bands, we focus on the case of
impulse
responses
in …
Persistent link: https://www.econbiz.de/10011128842
Saved in:
10
Confidence bands for
impulse
responses
: Bonferroni versus Wald
Lütkepohl, Helmut
;
Staszewska-Bystrova, Anna
;
Winker, Peter
-
2014
these considerations are equally important for constructing forecast bands, we focus on the case of
impulse
responses
in …
Persistent link: https://www.econbiz.de/10010330387
Saved in:
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