Representing Uncertainty about Response Paths: the Use of Heuristic Optimisation Methods

Anna Staszewska-Bystrova

No 379, Computing in Economics and Finance 2006 from Society for Computational Economics

Abstract: In impulse response analysis the construction of intervals for the response at a particular time is a familiar topic. This paper considers the construction of confidence bands for the path of reponses. It investigates the feasibility of procedures based on heuristic optimisation methods for constructing bootstrap confidence bands and evaluates the coverage properties of these bands for a stylised empirical VEC model

Keywords: bootstrapping; confidence bands; genetic algorithm; impulse response analysis (search for similar items in EconPapers)
JEL-codes: C15 C32 C49 (search for similar items in EconPapers)
Date: 2006-07-04
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Citations: View citations in EconPapers (7)

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Journal Article: Representing uncertainty about response paths: The use of heuristic optimisation methods (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecfa:379

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