Comparison of methods for constructing joint confidence bands for impulse response functions

Arbeitspapier

In vector autoregressive analysis confidence intervals for individual impulse responses are typically reported to indicate the sampling uncertainty in the estimation results. A range of methods are reviewed and a new proposal is made for constructing joint confidence bands, given a prespecified coverage level, for the impulse responses at all horizons considered simultaneously. The methods are compared in a simulation experiment and recommendations for empirical work are provided.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: MAGKS Joint Discussion Paper Series in Economics ; No. 25-2013

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Subject: Vector autoregressive process ; impulse responses ; bootstrap ; confidence band

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Lütkepohl, Helmut ; Staszewska-Bystrova, Anna ; Winker, Peter
• Event: Veröffentlichung
• (who): Philipps-University Marburg, Faculty of Business Administration and Economics
• (where): Marburg
• (when): 2013

Further information

• Handle: http://hdl.handle.net/10419/73085
• Last update: 10.03.2025, 11:44 AM CET