Bootstrapping Smooth Functions of Slope Parameters and Innovation Variances in VAR (∞) Models

By A. Inoue, Lutz Kilian. 2002

62 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/086bd023e1dd1dc2bdbc5ac56e80227d8380612b

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In Economics and Econometrics

Citations in the corpus

Vector Autoregressive Models (2011, background): “Although these properties require caution in doing inference for integrated processes, there are many situations where standard inference still holds (see Toda and Yamamoto (1995), Dolado and Lütkepohl (1996), Inoue and Kilian (2002a)).”
Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity (2007, methodology): “In addition, the standard results of Paparoditis (1996) and Inoue and Kilian (2002) require exponential decay of the coefficients of the moving average representation of the underlying process.”
How Reliable Are Local Projection Estimators of Impulse Responses? (2011, unknown): “The implied VAR(∞) processes may be approximated by a sequence of finite-lag order vector autoregressions (see Lütkepohl & Poskitt, 1991; Inoue & Kilian, 2002).”
Short and long run causality measures: Theory and inference (2008, methodology): “As mentioned by Inoue and Kilian (2002), for bounded measures, as in our case, the bootstrap approach is more reliable than the delta-method.”
Bootstrap Methods in Econometrics (2006, unknown): “See Rilstone and Veall (1996), Inoue and Kilian (2002), and MacKinnon (2002) for limited evidence about a few particular cases.”
Bootstrap Inference in Econometrics (2002, unknown): “For example, Rilstone and Veall (1996) provide encouraging evidence on the performance of certain bootstrap procedures in the context of seemingly unrelated regressions, and Inoue and Kilian (2002) do so in the context of vector autoregressions.”