Representing Uncertainty about Response Paths: the Use of Heuristic Optimisation Methods

In impulse response analysis the construction of intervals for the response at a particular time is a familiar topic. This paper considers the construction of confidence bands for the path of reponses. It investigates the feasibility of procedures based on heuristic optimisation methods for constructing bootstrap confidence bands and evaluates the coverage properties of these bands for a stylised empirical VEC model

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Year of publication:	2006-07-04
Authors:	Staszewska, Anna
Institutions:	Society for Computational Economics - SCE
Subject:	bootstrapping \| confidence bands \| genetic algorithm \| impulse response analysis

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Series:	Computing in Economics and Finance 2006.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Computing in Economics and Finance 2006 Number 379
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models ; C49 - Econometric and Statistical Methods: Special Topics. Other
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005342862