Comparison of methods for constructing joint confidence bands for impulse response functions

Helmut Lütkepohl, Anna Staszewska-Bystrova and Peter Winker

No 2013-031, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

Abstract: 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 prespecifed 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.

Keywords: Vector autoregressive process; impulse responses; bootstrap; confidence band (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/79625/1/74758558X.pdf (application/pdf)

Related works:
Journal Article: Comparison of methods for constructing joint confidence bands for impulse response functions (2015)
Working Paper: Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions (2013)
Working Paper: Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions (2013)
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:zbw:sfb649:sfb649dp2013-031

Access Statistics for this paper

More papers in SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().