Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions

This article investigates the construction of skewness-adjusted con�dence intervals and joint confidence bands for impulse response functions from vector autoregressive models. Three different implementations of the skewness adjustment are investigated. The methods are based on a bootstrap algorithm...

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Udgivet i:MAGKS - Joint Discussion Paper Series in Economics (Band 10-2018)
Autoren: Grabowski, Daniel, Staszewska-Bystrova, Anna, Winker, Peter
Format: Artikel
Sprog:engelsk
Udgivet: Philipps-Universität Marburg 2018
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Klassifikationsnummer: urn:nbn:de:hebis:04-es2024-05636
Publikationsdatum: 2024-01-19
Downloads: 19 (2024)
Lizenz: https://creativecommons.org/publicdomain/mark/1.0
Zugangs-URL: https://archiv.ub.uni-marburg.de/es/2024/0563
https://doi.org/10.17192/es2024.0563