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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Bibliographic Details
Published in:MAGKS - Joint Discussion Paper Series in Economics (Band 16-2016)
Main Authors: Lütkepohl, Helmut, Staszewska-Bystrova, Anna, Winker, Peter
Format: Article
Language:English
Published: Philipps-Universität Marburg 2016
Subjects:
joint con�dence bands
Wirtschaft
highest density region, vector autoregressive process
Impulse responses
Economics
Online Access:PDF Full Text
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