Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions

Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions

This paper proposes a new non-parametric method of constructing joint confidence bands for impulse response functions of vector autoregressive models.The estimation uncertainty is captured by means of bootstrapping and the highest density region (HDR) approach is used to construct the bands. A Mont...

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Publié dans:MAGKS - Joint Discussion Paper Series in Economics (Band 16-2016)
Auteurs principaux: Lütkepohl, Helmut, Staszewska-Bystrova, Anna, Winker, Peter
Format: Article
Langue:anglais
Publié: Philipps-Universität Marburg 2016
Sujets:
joint con�dence bands
Wirtschaft
highest density region, vector autoregressive process
Impulse responses
Economics
Accès en ligne:Texte intégral en PDF
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MAGKS - Joint Discussion Paper Series in Economics

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