Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/144681 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
MAGKS Joint Discussion Paper Series in Economics No. 16-2016
Verlag: 
Philipps-University Marburg, School of Business and Economics, Marburg
Zusammenfassung: 
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.
Schlagwörter: 
impulse responses
joint confidence bands
highest density region
vector autoregressive process
JEL: 
C32
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
471 kB





Publikationen in EconStor sind urheberrechtlich geschützt.