Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - 2014
In impulse response analysis estimation uncertainty is typically displayed by constructing bands around estimated … impulse response functions. These bands may be based on frequentist or Bayesian methods. If they are based on the joint … frequentist framework often individual confidence intervals or credibility sets are simply connected to obtain the bands. Such …