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Frequency domain inference for univariate impulse responses

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  • Wright, Jonathan H.

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  • Wright, Jonathan H., 1999. "Frequency domain inference for univariate impulse responses," Economics Letters, Elsevier, vol. 63(3), pages 269-277, June.
    • Handle: RePEc:eee:ecolet:v:63:y:1999:i:3:p:269-277
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    References listed on IDEAS

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    1. Runkle, David E, 1987. "Vector Autoregressions and Reality," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 437-442, October.
    2. Runkle, David E, 1987. "Vector Autoregressions and Reality: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 454-454, October.
    3. King, Robert G & Watson, Mark W, 1996. "Money, Prices, Interest Rates and the Business Cycle," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 35-53, February.
    4. David E. Runkle, 1987. "Vector autoregressions and reality," Staff Report 107, Federal Reserve Bank of Minneapolis.
    5. Diebold, Francis X. & Rudebusch, Glenn D., 1989. "Long memory and persistence in aggregate output," Journal of Monetary Economics, Elsevier, vol. 24(2), pages 189-209, September.
    6. Lutkepohl, Helmut, 1990. "Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models," The Review of Economics and Statistics, MIT Press, vol. 72(1), pages 116-125, February.
    7. Lutz Kilian, 1998. "Small-Sample Confidence Intervals For Impulse Response Functions," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 218-230, May.
    8. Koop, Gary, 1996. "Parameter uncertainty and impulse response analysis," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 135-149.
    9. Jeremy Berkowitz & Francis X. Diebold, 1998. "Bootstrapping Multivariate Spectra," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 664-666, November.
    10. Kaizô I. BeltraTo & Peter Bloomfield, 1987. "Determining The Bandwidth Of A Kernel Spectrum Estimate," Journal of Time Series Analysis, Wiley Blackwell, vol. 8(1), pages 21-38, January.
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    Cited by:

    1. Ionel Birgean & Lutz Kilian, 2002. "Data-Driven Nonparametric Spectral Density Estimators For Economic Time Series: A Monte Carlo Study," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 449-476.

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