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

被引：32
作者：
Luetkepohl, Helmut [1 ,2 ]
Staszewska-Bystrova, Anna [3 ]
Winker, Peter [4 ]
机构：
[1] DIW Berlin, D-10177 Berlin, Germany
[2] Free Univ Berlin, D-10177 Berlin, Germany
[3] Univ Lodz, PL-90214 Lodz, Poland
[4] Univ Giessen, D-35394 Giessen, Germany
来源：
INTERNATIONAL JOURNAL OF FORECASTING | 2015年 / 31卷 / 03期
关键词：
Vector autoregressive process; Impulse responses; Bootstrap; Confidence band; VECTOR AUTOREGRESSIONS; PREDICTION BANDS; REGIONS; SHOCKS;
D O I：
10.1016/j.ijforecast.2013.08.003
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (C) 2013 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
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页码：782 / 798
页数：17
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