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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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| Publicado no: | MAGKS - Joint Discussion Paper Series in Economics (Band 10-2018) |
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| Principais autores: | , , |
| Formato: | Artigo |
| Idioma: | inglês |
| Publicado em: |
Philipps-Universität Marburg
2018
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| Assuntos: | |
| Acesso em linha: | Texto Completo em Formato PDF |
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