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~institution:"Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München"
~person:"Phillips, Kerk L."
~person:"Kociecki, Andrzej"
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Phillips, Kerk L.
Kociecki, Andrzej
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Orbital Priors for Time-Series Models
Kociecki, Andrzej
-
Volkswirtschaftliche Fakultät, …
-
2012
time–series models including, AutoRegressions (AR), Vector AutoRegressions (VAR),
Structural
VAR
and Error Correction …
Persistent link: https://www.econbiz.de/10011259476
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Bootstrapping Structural VARs: Avoiding a Potential Bias in Confidence Intervals for Impulse Response Functions
Phillips, Kerk L.
;
Spencer, David E.
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Volkswirtschaftliche Fakultät, …
-
2010
Constructing bootstrap confidence intervals for impulse response functions (IRFs) from structural vector autoregression (SVAR) models has become standard practice in empirical macroeconomic research. The accuracy of such confidence intervals can deteriorate severely, however, if the bootstrap...
Persistent link: https://www.econbiz.de/10008550553
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