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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Yayımlandı: | MAGKS - Joint Discussion Paper Series in Economics (Band 10-2018) |
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Asıl Yazarlar: | , , |
Materyal Türü: | Makale |
Dil: | İngilizce |
Baskı/Yayın Bilgisi: |
Philipps-Universität Marburg
2018
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Konular: | |
Online Erişim: | PDF Tam Metin |
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