Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/73085 
Year of Publication: 
2013
Series/Report no.: 
MAGKS Joint Discussion Paper Series in Economics No. 25-2013
Publisher: 
Philipps-University Marburg, Faculty of Business Administration and Economics, Marburg
Abstract: 
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 proposal is made for constructing joint confidence bands, given a prespecified 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.
Subjects: 
Vector autoregressive process
impulse responses
bootstrap
confidence band
JEL: 
C32
Document Type: 
Working Paper

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