Simultaneous Confidence Regions for Impulse Responses

By Ò. Jordà. 2009

112 citations recorded by the source corpus.

Subfields: Control and Systems Engineering, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/c72111c1d6dd49554806d6c8f4dfbe2c4a647bd3

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Control and Systems Engineering

1. Massimiliano Marcellino

In Statistics and Probability

1. Massimiliano Marcellino
2. Ò. Jordà

Citations in the corpus

• Joint Confidence Sets for Structural Impulse Responses (2016, unknown): “The limiting covariance matrix of (19) takes the form of [ (1− ρ2)(4ρ2 + 1) 0 0 3(1−ρ 2)2 4ρ2+1 ] , (21)”
• NONLINEARITIES IN THE OIL PRICE–OUTPUT RELATIONSHIP (2010, unknown): “6 Although the empirical results in Mork (1989) continue to be cited as evidence of asymmetry, the substance of his results was overturned in Hooker (1996) and Hamilton (1996).”
• Path Forecast Evaluation (2010, result): “This approach is similar to that proposed by Jordà (2008) for impulse response functions.”
• How Reliable Are Local Projection Estimators of Impulse Responses? (2011, unknown): “I. Introduction LOCAL (linear) projections (LPs) were proposed by Jordà (2005,2009) as an alternative to traditional estimators of impulse responses based on vector autoregressive (VAR) models.1 Our objective in this paper is to provide some practical guidance about which of the combinations of…”