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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Detaylı Bibliyografya
Yayımlandı:MAGKS - Joint Discussion Paper Series in Economics (Band 16-2016)
Asıl Yazarlar: Lütkepohl, Helmut, Staszewska-Bystrova, Anna, Winker, Peter
Materyal Türü: Makale
Dil:İngilizce
Baskı/Yayın Bilgisi: Philipps-Universität Marburg 2016
Konular:
joint con�dence bands
Wirtschaft
highest density region, vector autoregressive process
Impulse responses
Economics
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Detaylı Erişim Bilgileri
Yer Numarası: urn:nbn:de:hebis:04-es2024-05083
Yayın Tarihi: 2024-01-19
Downloads: 21 (2024)
Lizenz: https://creativecommons.org/publicdomain/mark/1.0
Erişim Adresi URL: https://archiv.ub.uni-marburg.de/es/2024/0508
https://doi.org/10.17192/es2024.0508

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