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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Veröffentlicht in:MAGKS - Joint Discussion Paper Series in Economics (Band 16-2016)
Autoren: Lütkepohl, Helmut, Staszewska-Bystrova, Anna, Winker, Peter
Format: Artikel
Sprache:Englisch
Veröffentlicht: Philipps-Universität Marburg 2016
Schlagworte:
joint con�dence bands
Wirtschaft
highest density region, vector autoregressive process
Impulse responses
Economics
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