Dokument
| Titel: | Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions |
| Autor: | Lütkepohl, Helmut |
| Weitere Verfasser: | Staszewska-Bystrova, Anna; Winker, Peter |
| Veröffentlicht: | 2013 |
| URI: | https://archiv.ub.uni-marburg.de/es/2024/0188 |
| DOI: | https://doi.org/10.17192/es2024.0188 |
| ISSN: | 1867-3678 |
| DDC: | 330 Wirtschaft |
| Publikationsdatum: | 2024-01-03 |
| Lizenz: | https://creativecommons.org/publicdomain/mark/1.0 |
| Schlagwörter: |
|---|
| impulse responses, Vector autoregressive process, bootstrap, confidence band |
Summary:
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.
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