Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/144681
Authors: 
Lütkepohl, Helmut
Staszewska-Bystrova, Anna
Winker, Peter
Year of Publication: 
2016
Series/Report no.: 
Joint Discussion Paper Series in Economics 16-2016
Abstract: 
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 the highest density region (HDR) approach is used to construct the bands. A Monte Carlo comparison of the HDR bands with existing alternatives shows that the former are competitive with the bootstrap-based Bonferroni and Wald confidence regions. The relative tightness of the HDR bands matched with their good coverage properties makes them attractive for applications. An application to corporate bond spreads for Germany highlights the potential for empirical work.
Subjects: 
impulse responses
joint confidence bands
highest density region
vector autoregressive process
JEL: 
C32
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.