Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions

Helmut Lütkepohl, Anna Staszewska-Bystrova and Peter Winker

MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)

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 pre-specified 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)
Pages: 17 pages
Date: 2013
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (12)

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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)
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Persistent link: https://EconPapers.repec.org/RePEc:mar:magkse:201325

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