Publikationsserver
Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions
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 c...
Enregistré dans:
| Publié dans: | MAGKS - Joint Discussion Paper Series in Economics (Band 25-2013) |
|---|---|
| Auteurs principaux: | , , |
| Format: | Article |
| Langue: | anglais |
| Publié: |
Philipps-Universität Marburg
2013
|
| Sujets: | |
| Accès en ligne: | Texte intégral en PDF |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
| Résumé: | 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. |
|---|---|
| ISSN: | 1867-3678 |
| DOI: | 10.17192/es2024.0188 |