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...
Wedi'i Gadw mewn:
Cyhoeddwyd yn: | MAGKS - Joint Discussion Paper Series in Economics (Band 16-2016) |
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Prif Awduron: | , , |
Fformat: | Erthygl |
Iaith: | Saesneg |
Cyhoeddwyd: |
Philipps-Universität Marburg
2016
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Pynciau: | |
Mynediad Ar-lein: | Testun PDF llawn |
Tagiau: |
Ychwanegu Tag
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Rhyngrwyd
Testun PDF llawnRhif Galw: |
urn:nbn:de:hebis:04-es2024-05083 |
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Dyddiad Cyhoeddi: |
2024-01-19 |
Downloads: |
21 (2024) |
Lizenz: |
https://creativecommons.org/publicdomain/mark/1.0 |
URL mynediad: |
https://archiv.ub.uni-marburg.de/es/2024/0508 https://doi.org/10.17192/es2024.0508 |