Error Bands for Impulse Responses
Christopher Sims () and
Tao Zha ()
Econometrica, 1999, vol. 67, issue 5, 1113-1156
We show how to correctly extend known methods for generating error bands in reduced form VAR's to overidentified models. We argue that the conventional pointwise bands common in the literature should be supplemented with measures of shape uncertainty, and we show how to generate such measures. We focus on bands that characterize the shape of the likelihood. Such bands are not classical confidence regions. We explain that classical confidence regions mix information about parameter location with information about model fit, and hence can be misleading as summaries of the implications of the data for the location of parameters.
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Working Paper: Error bands for impulse responses (1995)
Working Paper: Error Bands for Impulse Responses (1994)
Software Item: RATS programs to replicate Sims and Zha(1999) "Error Bands for Impulse Responses"
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