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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...
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| 发表在: | MAGKS - Joint Discussion Paper Series in Economics (Band 25-2013) |
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| Autoren: | , , |
| 格式: | 文件 |
| 语言: | 英语 |
| 出版: |
Philipps-Universität Marburg
2013
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| 主题: | |
| 在线阅读: | PDF-Volltext |
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