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...

Full description

Saved in:
Bibliographic Details
Published in:MAGKS - Joint Discussion Paper Series in Economics (Band 25-2013)
Main Authors: Lütkepohl, Helmut, Staszewska-Bystrova, Anna, Winker, Peter
Format: Article
Language:English
Published: Philipps-Universität Marburg 2013
Subjects:
Online Access:PDF Full Text
Tags: Add Tag
No Tags, Be the first to tag this record!
MAGKS - Joint Discussion Paper Series in Economics