Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - 2016
This paper proposes a new non-parametric method of constructing joint confidence bands for impulse response functions … region (HDR) approach is used to construct the bands. A Monte Carlo comparison of the HDR bands with existing alternatives … tightness of the HDR bands matched with their good coverage properties makes them attractive for applications. An application to …