Balanced bootstrap joint confidence bands for structural impulse response functions

Stefan Bruder and Michael Wolf

No 246, ECON - Working Papers from Department of Economics - University of Zurich

Abstract: Constructing joint confidence bands for structural impulse response functions based on a VAR model is a difficult task because of the non-linear nature of such functions. We propose new joint confidence bands that cover the entire true structural impulse response function up to a chosen maximum horizon with a prespecified probability (1 − α), at least asymptotically. Such bands are based on a certain bootstrap procedure from the multiple testing literature. We compare the finite-sample properties of our method with those of existing methods via extensive Monte Carlo simulations. We also investigate the effect of endogenizing the lag order in our bootstrap procedure on the finite-sample properties. Furthermore, an empirical application to a real data set is provided.

Keywords: Bootstrap; impulse response functions; joint confidence bands; vector autoregressive process (search for similar items in EconPapers)
JEL-codes: C12 C32 (search for similar items in EconPapers)
Date: 2017-03, Revised 2018-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (7)

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Related works:
Journal Article: Balanced Bootstrap Joint Confidence Bands for Structural Impulse Response Functions (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:zur:econwp:246

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