Constructing joint confidence bands for impulse response functions of VAR models – A review

Helmut Lütkepohl, Anna Staszewska-Bystrova and Peter Winker

Econometrics and Statistics, 2020, vol. 13, issue C, 69-83

Abstract: Methods for constructing joint confidence bands for impulse response functions which are commonly used in vector autoregressive analysis are reviewed. While considering separate intervals for each horizon individually still seems to be the most common approach, a substantial number of methods have been proposed for making joint inferences about the complete impulse response paths up to a given horizon. A structured presentation of these methods is provided. Furthermore, existing evidence on the small-sample performance of the methods is gathered. The collected information can help practitioners to decide on a suitable confidence band for a structural VAR analysis.

Keywords: Impulse responses; Vector autoregressive model; Joint confidence bands (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S2452306218300741
Full text for ScienceDirect subscribers only. Contains open access articles

Related works:
Working Paper: Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review (2018)
Working Paper: Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review (2018)
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:eee:ecosta:v:13:y:2020:i:c:p:69-83

DOI: 10.1016/j.ecosta.2018.10.002

Access Statistics for this article

Econometrics and Statistics is currently edited by E.J. Kontoghiorghes, H. Van Dijk and A.M. Colubi

More articles in Econometrics and Statistics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().