Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/73085
Authors: 
Lütkepohl, Helmut
Staszewska-Bystrova, Anna
Winker, Peter
Year of Publication: 
2013
Series/Report no.: 
Joint Discussion Paper Series in Economics 25-2013
Abstract: 
In vector autoregressive analysis confidence intervals for individual impulse responses are typically reported to indicate the sampling uncertainty in the estimation results. A range of methods are reviewed and a new proposal is made for constructing joint confidence bands, given a prespecified coverage level, for the impulse responses at all horizons considered simultaneously. The methods are compared in a simulation experiment and recommendations for empirical work are provided.
Subjects: 
Vector autoregressive process
impulse responses
bootstrap
confidence band
JEL: 
C32
Document Type: 
Working Paper

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