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

Helmut Lütkepohl, Anna Staszewska-Bystrova and Peter Winker

International Journal of Forecasting, 2015, vol. 31, issue 3, 782-798

Abstract: In vector autoregressive analyses, confidence intervals for individual impulse responses are typically reported in order to indicate the sampling uncertainty in the estimation results. Various methods are reviewed, and a new method for the construction of joint confidence bands, given a prespecified coverage level, for the impulse responses at all horizons considered simultaneously, is proposed. 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)
Date: 2015
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Citations: View citations in EconPapers (48)

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Related works:
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)
Working Paper: Comparison of methods for constructing joint confidence bands for impulse response functions (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:31:y:2015:i:3:p:782-798

DOI: 10.1016/j.ijforecast.2013.08.003

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