Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/175861
Authors: 
Grabowski, Daniel
Staszewska-Bystrova, Anna
Winker, Peter
Year of Publication: 
2018
Series/Report no.: 
Joint Discussion Paper Series in Economics 10-2018
Abstract: 
This article investigates the construction of skewness-adjusted confidence intervals and joint confidence bands for impulse response functions from vector autoregressive models. Three different implementations of the skewness adjustment are investigated. The methods are based on a bootstrap algorithm that adjusts mean and skewness of the bootstrap distribution of the autoregressive coefficients before the impulse response functions are computed. Using extensive Monte Carlo simulations, the methods are shown to improve the coverage accuracy in small and medium sized samples and for unit root processes for both known and unknown lag orders.
Subjects: 
Bootstrap
confidence intervals
joint confidence bands
vector autoregression
JEL: 
C15
C32
Document Type: 
Working Paper

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