Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 7, 2019 erstellt
Description:
This article investigates the estimation and inference of quantile impulse response functions. We propose a new estimation method using the local projections by Jordà (2005). We establish consistency and asymptotic normality of the estimator, thereby enabling asymptotic inference. We also consider the confidence interval construction based on stationary bootstrap and prove its consistency. Confirmatory simulation results and empirical practices on Value-at-Risk dynamics are provided