Asymptotic confidence bands for the estimated autocovariance and autocorrelation functions of vector autoregressive models

By Guenter Coenen. Social Science Research Network, 2005

64 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/44623dbbbef33a79f4bf9126faac5888859eca69

Citations in the corpus

• Identifying the Influences of Nominal and Real Rigidities in Aggregate Price-Setting Behavior (2007, unknown): “samples, the overidentifying restrictions are not rejected for either the random-duration or fixed-duration specification when the model is estimated (34)See Coenen (2005) for a detailed discussion of the methodology used in computing the asymptotic confidence bands for the estimated autocorrelation”