Browsing by Author "Staszewska-Bystrova, Anna"

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2016-03-21Buch

Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions

Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter

This paper proposes a new non-parametric method of constructing joint confidence bands for impulse response functions of vector autoregressive models. The estimation uncertainty is captured by means of bootstrapping and ...
2013-05-31Buch

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

Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter

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 ...
2014-01-16Buch

Confidence Bands for Impulse Responses

Bonferroni versus Wald

Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter

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 ...