Asymptotic confidence intervals for impulse responses of near‐integrated processes

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Confidence Intervals for Half-Life Deviations From Purchasing Power Parity (2005, methodology): “This is not the first article on inference about half-life deviations from PPP. Authors who have recently addressed this issue include Cheung and Lai (2000), Murray and Papell (2002), Lopez, Murray, and Papell (2003), Gospodinov (2002), and Kilian and Zha (2002).”
Exchange Rate Predictability (2013, unknown): “15The half-life measures how many time periods it takes for the e¤ects of a shock to PPP to decrease by 50%. and Zha, 2002, Murray and Papell, 2002, Gospodinov 2004, Lopez, Murray, and Papell, 2005, and Rossi, 2005c)16 and heterogeneity in disaggregate data (Imbs, Mumtaz, Ravn and Rey, 2005).17 (c)…”
Local Projection Inference Is Simpler and More Robust Than You Think (2020, methodology): “proposed AR-based methods for impulse response inference at long horizons h = hT ∝ T (Wright, 2000; Gospodinov, 2004; Pesavento and Rossi, 2007; Mikusheva, 2012; Inoue and Kilian, 2020).”