Error bands for impulse responses

Christopher Sims () and Tao Zha

No 95-6, FRB Atlanta Working Paper from Federal Reserve Bank of Atlanta

Abstract: We examine the theory and behavior in practice of Bayesian and bootstrap methods for generating error bands on impulse responses in dynamic linear models. The Bayesian intervals have a firmer theoretical foundation in small samples, are easier to compute, and are about as good in small samples by classical criteria as are the best bootstrap intervals. Bootstrap intervals based directly on the simulated small-sample distribution of an estimator, without bias correction, perform very badly. We show that a method that has been used to extend to the overidentified case standard algorithms for Bayesian intervals in reduced form models is incorrect, and we show how to obtain correct Bayesian intervals for this case.

Keywords: Econometric; models (search for similar items in EconPapers)
Date: 1995
References: Add references at CitEc
Citations: View citations in EconPapers (23)

Published in Econometrica, September 1999

Downloads: (external link)
https://www.atlantafed.org/-/media/documents/resea ... ns/wp/1995/wp956.pdf (application/pdf)

Related works:
Journal Article: Error Bands for Impulse Responses (1999)
Working Paper: Error Bands for Impulse Responses (1994)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedawp:95-6

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in FRB Atlanta Working Paper from Federal Reserve Bank of Atlanta Contact information at EDIRC.
Bibliographic data for series maintained by Rob Sarwark ().