Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions

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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Збережено в:
Бібліографічні деталі
Опубліковано в::MAGKS - Joint Discussion Paper Series in Economics (Band 25-2013)
Автори: Lütkepohl, Helmut, Staszewska-Bystrova, Anna, Winker, Peter
Формат: Стаття
Мова:англійська
Опубліковано: Philipps-Universität Marburg 2013
Предмети:
bootstrap, confidence band
impulse responses
Vector autoregressive process
Wirtschaft
Economics
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