Lütkepohl, Helmut Staszewska-Bystrova, Anna Winker, Peter
Year of Publication:
SFB 649 Discussion Paper 2013-031
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 prespecifed 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.
Vector autoregressive process impulse responses bootstrap confidence band