Confidence intervals for univariate impulse responses with a near unit root

被引：20

作者：

Wright, JH ^{[1
]}

机构：

[1] Fed Reserve Syst, Board Governors, Int Finance Div, Washington, DC 20551 USA

来源：

JOURNAL OF BUSINESS & ECONOMIC STATISTICS | 2000年 / 18卷 / 03期

关键词：

bootstrap; confidence intervals; impulse response; unit roots;

D O I：

10.2307/1392268

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This article proposes a method for constructing confidence intervals for the impulse response function of a univariate time series with a near unit root. These confidence intervals control coverage, whereas the existing techniques can all have coverage far below the nominal level. I apply the proposed method to several measures of U.S. aggregate output.

引用

页码：368 / 373

页数：6

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