Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions
| Title: | Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions |
|---|---|
| Authors: | Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter |
| Publication Year: | 2025 |
| Subject Terms: | impulse responses; Vector autoregressive process; bootstrap; confidence band |
| Time: | 330 |
| Description: | In vector autoregressive analysis confidence intervals for individual impulse responses are typically reported to indicate the sampling uncertainty in the estimation results. A range of methods are reviewed and a new proposal is made for constructing joint confidence bands, given a prespecified coverage level, for the impulse responses at all horizons considered simultaneously. The methods are compared in a simulation experiment and recommendations for empirical work are provided. |
| Document Type: | article in journal/newspaper |
| File Description: | application/pdf |
| Language: | English |
| Relation: | es/2023/0167; es/2024/0188; https://doi.org/10.17192/es2024.0188 |
| DOI: | 10.17192/es.2024.0188 |
| DOI: | 10.17192/es2024.0188 |
| Availability: | https://open.uni-marburg.de/handle/10.17192/es.2024.0188; https://nbn-resolving.org/urn:nbn:de:hebis:04-es2024-01886; https://doi.org/10.17192/es2024.0188 |
| Rights: | https://creativecommons.org/publicdomain/mark/1.0 |
| Accession Number: | edsbas.EF8B6560 |
| Database: | BASE |