Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/173411
Authors: 
Bruder, Stefan
Wolf, Michael
Year of Publication: 
2018
Series/Report no.: 
Working Paper 246
Abstract: 
Constructing joint confidence bands for structural impulse response functions based on a VAR model is a difficult task because of the non-linear nature of such functions. We propose new joint confidence bands that cover the entire true structural impulse response function up to a chosen maximum horizon with a prespecified probability (1 − α), at least asymptotically. Such bands are based on a certain bootstrap procedure from the multiple testing literature. We compare the finite-sample properties of our method with those of existing methods via extensive Monte Carlo simulations. We also investigate the effect of endogenizing the lag order in our bootstrap procedure on the finite-sample properties. Furthermore, an empirical application to a real data set is provided.
Subjects: 
Bootstrap
impulse response functions
joint confidence bands
vector autoregressive process
JEL: 
C12
C32
Persistent Identifier of the first edition: 
Document Type: 
Working Paper
Social Media Mentions:

2



Files in This Item:
File
Size





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