IMPULSE RESPONSE ANALYSIS IN VECTOR AUTOREGRESSIONS WITH UNKNOWN LAG ORDER

By Lutz Kilian. 2001

160 citations recorded by the source corpus.

Subfields: Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/203f4b0c2c074b752b7dd359ab9b69921a82474b

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In Management Science and Operations Research

Citations in the corpus

How accurate are confidence intervals for impulse responses in large VAR models (2000, background): “We do not consider percentile-t bootstrap confidence intervals, because these intervals tend to be unreliable and unnecessarily wide in the present context (see Kilian (1999), Berkowitz and Kilian (2000) for further 2¨discussion).”
Panel evidence on the impact of tourism growth on poverty, poverty gap and income inequality (2019, background): “Orthogonalising the VAR’s shocks is required so that the shocks tracked by the IRFs are uncorrelated (Kilian 2001).”
Simultaneous Confidence Regions for Impulse Responses (2009, background): “However, such issues as long-horizon asymptotic distortions in short-order VARs (Sims & Zha, 1999; Rossi, 2005; Pesavento & Rossi, 2006) and distortions of common implementations of the bootstrap (Kilian, 1998a, 1998b, 1999, 2001) require more space than is available in this paper.”
Selection of optimal lag length in cointegrated VAR models with weak form of common cyclical features (2009, methodology): “Kilian (2001) studied the performance of traditional AIC, SC and HQ criteria of a covariance stationary VAR model.”
A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis (2005, background): “These differences can be large enough to affect the substantive interpretation of VAR impulse response estimates (see e.g., Hamilton and Herrera 2004; Kilian 2001).”
The Role of Oil Price Shocks in Causing U.S. Recessions (2014, methodology): “This means that there is no compelling conditional evidence in support of the net oil price increase model, mirroring the unconditional evidence in Kilian and Vigfusson (2011a). Even after adding proxies for credit supply conditions, the monetary policy stance, and consumer sentiment, however, the c”
How sensitive are consumer expenditures to retail energy prices (2009, methodology): “While our qualitative results are not sensitive to the lag order choice, given the well-known dangers of underfitting a VAR model, we adopt a conservative approach (see Kilian 2001; Hamilton and Herrera 2004).”
Joint Confidence Sets for Structural Impulse Responses (2016, unknown): “below the 100(1 − ) percentile of the distribution of the test statistic (20) is retained and becomes a member of the joint confidence set.”
A Practitioner's Guide to Lag-Order Selection for Vector Autoregressions (2001, background): “Kilian (2000), on the other hand, stresses the inability of parsimonious lag order selection criteria to capture the nonlinear dynamics of impulse response functions especially at longer horizons.”