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Bayesian inference in cointegrated systems

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Comparing density forecasts via weighted likehood ratio tests : asymptotic and bootstrap methods

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A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators

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A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators

Giacomini, Raffaella; Politis, Dimitris N.; White, Halbert - 2012

Persistent link: https://www.econbiz.de/10009554396

Identification and inference under narrative restrictions

Giacomini, Raffaella; Kitagawa, Toru; Read, Matthew - 2023

Persistent link: https://www.econbiz.de/10015066097

Narrative Restrictions and Proxies

Giacomini, Raffaella; Kitagawa, Toru; Read, Matthew - 2022

We compare two approaches to using information about the signs of structural shocks at specific dates within a structural vector autoregression (SVAR): imposing ‘narrative restrictions’ (NR) on the shock signs in an otherwise set-identified SVAR; and casting the information about the shock...

Persistent link: https://www.econbiz.de/10013293576

Comment on Giacomini, Kitagawa and Read's "Narrative restrictions and proxies"

Kilian, Lutz - 2021 - This version: December 2, 2021

Persistent link: https://www.econbiz.de/10013170459

Narrative restrictions and proxies

Giacomini, Raffaella; Kitagawa, Toru; Read, Matthew - 2022

We compare two approaches to using information about the signs of structural shocks at specific dates within a structural vector autoregression (SVAR): imposing 'narrative restrictions' (NR) on the shock signs in an otherwise setidentified SVAR; and casting the information about the shock signs...

Persistent link: https://www.econbiz.de/10013173190

Narrative restrictions and proxies

Giacomini, Raffaella; Kitagawa, Toru; Read, Matthew - 2022

Persistent link: https://www.econbiz.de/10013173592

Narrative restrictions and proxies

Giacomini, Raffaella; Kitagawa, Toru; Read, Matthew - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 4, pp. 1415-1425

Persistent link: https://www.econbiz.de/10013539555