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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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| Udgivet i: | MAGKS - Joint Discussion Paper Series in Economics (Band 16-2016) |
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| Autoren: | , , |
| Format: | Artikel |
| Sprog: | engelsk |
| Udgivet: |
Philipps-Universität Marburg
2016
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| Fag: | |
| Online adgang: | PDF-Volltext |
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