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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Bibliografiska uppgifter
I publikationen:MAGKS - Joint Discussion Paper Series in Economics (Band 16-2016)
Huvudupphovsmän: Lütkepohl, Helmut, Staszewska-Bystrova, Anna, Winker, Peter
Materialtyp: Artikel
Språk:engelska
Publicerad: Philipps-Universität Marburg 2016
Ämnen:
joint con�dence bands
Wirtschaft
highest density region, vector autoregressive process
Impulse responses
Economics
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MAGKS - Joint Discussion Paper Series in Economics

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