Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions

Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions

This article investigates the construction of skewness-adjusted con�dence intervals and joint confidence bands for impulse response functions from vector autoregressive models. Three different implementations of the skewness adjustment are investigated. The methods are based on a bootstrap algorithm...

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Veröffentlicht in:MAGKS - Joint Discussion Paper Series in Economics (Band 10-2018)
Autoren: Grabowski, Daniel, Staszewska-Bystrova, Anna, Winker, Peter
Format: Artikel
Sprache:Englisch
Veröffentlicht: Philipps-Universität Marburg 2018
Schlagworte:
vector autoregression
Bootstrap
joint confidence bands
Wirtschaft
confidence intervals
Economics
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