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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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:
bootstrap, confidence band
impulse responses
Vector autoregressive process
Wirtschaft
Economics
Online Access:PDF Full Text
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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.
ISSN:1867-3678
DOI:10.17192/es2024.0188

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