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Consistency of averaged impulse response estimators in vector autoregressive models. (2024). Urbain, Jeanpierre ; Palm, Franz ; Lohmeyer, Jan.
In: Journal of Time Series Analysis.
RePEc:bla:jtsera:v:45:y:2024:i:5:p:691-713.

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    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:45:y:2024:i:5:p:691-713.

    Full description at Econpapers || Download paper

  2. Local Projection Inference Is Simpler and More Robust Than You Think. (2021). Plagborg-Moller, Mikkel ; Plagborgmoller, Mikkel ; Montiel, Jose Luis.
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  5. Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions. (2020). Winker, Peter ; Staszewska-Bystrova, Anna ; Grabowski, Daniel.
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  6. The uniform validity of impulse response inference in autoregressions. (2020). Kilian, Lutz ; Inoue, Atsushi.
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  7. The uniform validity of impulse response inference in autoregressions. (2019). Kilian, Lutz ; Inoue, Atsushi.
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  9. Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review. (2018). Winker, Peter ; Staszewska-Bystrova, Anna ; Lütkepohl, Helmut ; Lutkepohl, Helmut.
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  10. Balanced bootstrap joint confidence bands for structural impulse response functions. (2017). Wolf, Michael ; Bruder, Stefan.
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