34 citations · 45 across the 18 of their papers we have counts for
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econ.EM2017
A Justification of Conditional Confidence Intervals
Eric Beutner, Alexander Heinemann, Stephan Smeekes
To quantify uncertainty around point estimates of conditional objects such as conditional means or variances, parameter uncertainty has to be taken into account. Attempts to incorp…
econ.EM2017
Inference for Impulse Responses under Model Uncertainty
Lenard Lieb, Stephan Smeekes
In many macroeconomic applications, confidence intervals for impulse responses are constructed by estimating VAR models in levels - ignoring cointegration rank uncertainty. We inve…