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2013-05-31Diskussionspapier DOI: 10.18452/4471
Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions
dc.contributor.authorLütkepohl, Helmut
dc.contributor.authorStaszewska-Bystrova, Anna
dc.contributor.authorWinker, Peter
dc.date.accessioned2017-06-16T00:52:35Z
dc.date.available2017-06-16T00:52:35Z
dc.date.created2013-08-01
dc.date.issued2013-05-31
dc.date.submitted2013-05-31
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5123
dc.description.abstractIn 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 proposal is made for constructing joint confidence bands, given a prespecifed coverage level, for the impulse responses at all horizons considered simultaneously. The methods are compared in a simulation experiment and recommendations for empirical work are provided.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectimpulse responseseng
dc.subjectbootstrapeng
dc.subjectVector autoregressive processeng
dc.subjectconfidence bandeng
dc.subject.ddc310 Sammlungen allgemeiner Statistiken
dc.subject.ddc330 Wirtschaft
dc.titleComparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-100211359
dc.identifier.doihttp://dx.doi.org/10.18452/4471
local.edoc.pages32
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2013
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2013,31

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