Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/183171 
Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
DIW Discussion Papers No. 1762
Verlag: 
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin
Zusammenfassung: 
Methods for constructing joint confidence bands for impulse response functions which are commonly used in vector autoregressive analysis are reviewed. While considering separate intervals for each horizon individually still seems to be the most common approach, a substantial number of methods have been proposed for making joint inferences about the complete impulse response paths up to a given horizon. A structured presentation of these methods is provided. Furthermore, existing evidence on the small-sample performance of the methods is gathered. The collected information can help practitioners to decide on a suitable confidence band for a structural VAR analysis.
Schlagwörter: 
impulse responses
vector autoregressive model
joint confidence bands
JEL: 
C32
Dokumentart: 
Working Paper

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