Publikationsserver der Universitätsbibliothek Marburg

Titel:Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions
Autor:Grabowski, Daniel
Weitere Verfasser:Staszewska-Bystrova, Anna; Winker, Peter
Veröffentlicht:2018
URI:https://archiv.ub.uni-marburg.de/es/2024/0563
URN: urn:nbn:de:hebis:04-es2024-05636
DOI: https://doi.org/10.17192/es2024.0563
ISSN: 1867-3678
DDC:330 Wirtschaft
Publikationsdatum:2024-01-19
Lizenz:https://creativecommons.org/publicdomain/mark/1.0

Dokument

Schlagwörter:
vector autoregression, Bootstrap, joint confidence bands, confidence intervals

Summary:
This article investigates the construction of skewness-adjusted con�dence intervals and joint confidence bands for impulse response functions from vector autoregressive models. Three different implementations of the skewness adjustment are investigated. The methods are based on a bootstrap algorithm that adjusts mean and skewness of the bootstrap distribution of the autoregressive coeffcients before the impulse response functions are computed. Using extensive Monte Carlo simulations, the methods are shown to improve the coverage accuracy in small and medium sized samples and for unit root processes for both known and unknown lag orders.


* Das Dokument ist im Internet frei zugänglich - Hinweise zu den Nutzungsrechten