Balanced bootstrap joint confidence bands for structural impulse response functions

Arbeitspapier

Constructing joint confidence bands for structural impulse response functions based on a VAR model is a difficult task because of the non-linear nature of such functions. We propose new joint confidence bands that cover the entire true structural impulse response function up to a chosen maximum horizon with a prespecified probability (1 − α), at least asymptotically. Such bands are based on a certain bootstrap procedure from the multiple testing literature. We compare the finite-sample properties of our method with those of existing methods via extensive Monte Carlo simulations. We also investigate the effect of endogenizing the lag order in our bootstrap procedure on the finite-sample properties. Furthermore, an empirical application to a real data set is provided.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 246

Classification and Topics

• Classification: Wirtschaft ; Hypothesis Testing: General ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Subject: Bootstrap ; impulse response functions ; joint confidence bands ; vector autoregressive process

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Bruder, Stefan ; Wolf, Michael
• Event: Veröffentlichung
• (who): University of Zurich, Department of Economics
• (where): Zurich
• (when): 2018

Further information

• DOI: doi:10.5167/uzh-136365
• Handle: http://hdl.handle.net/10419/173411
• Last update: 10.03.2025, 11:42 AM CET