Confidence Bands for Impulse Responses: Bonferroni versus Wald

Peter Winker, Helmut Lütkepohl and Anna Staszewska-Bystrova

VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy from Verein für Socialpolitik / German Economic Association

Abstract: In impulse response analysis estimation uncertainty is typically displayed by constructing bands around estimated impulse response functions. These bands may be based on frequentist or Bayesian methods. If they are based on the joint distribution in the Bayesian framework or the joint asymptotic distribution possibly constructed with bootstrap methods in the frequentist framework often individual con dence intervals or credibility sets are simply connected to obtain the bands. Such bands are known to be too narrow and have a joint con dence content lower than the desired one. If instead the joint distribution of the impulse response coe cients is taken into account and mapped into the band it is shown that such a band is typically rather conservative. It is argued that a smaller band can often be obtained by using the Bonferroni method. While these considerations are equally important for constructing forecast bands, we focus on the case of impulse responses in this study.

JEL-codes: C32 C53 C65 (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-ets
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Citations: View citations in EconPapers (6)

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Related works:
Working Paper: Confidence Bands for Impulse Responses: Bonferroni versus Wald (2014)
Working Paper: Confidence Bands for Impulse Responses: Bonferroni versus Wald (2014)
Working Paper: Confidence bands for impulse responses: Bonferroni versus Wald (2014)
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