This paper proposes a new non-parametric method of constructing joint confidence bands for impulse response functions …

effects. The latter are based, for example, on simultaneous confidence bands that provide a simultaneous uncertainty … the resulting dependence structure into account and adapt the construction of simultaneous confidence bands accordingly …. In addition, the penalized spline estimates as well as the confidence bands are also made available for derivatives of …

This paper proposes a new non-parametric method of constructing joint confidence bands for impulse response functions …

represent the joint confidence sets in the form of "shotgun plots" rather than joint confidence bands for impulse response … functions. Several empirical examples demonstrate that this approach not only conveys the same information as confidence bands …

This paper proposes a new non-parametric method of constructing joint confidence bands for impulse response functions …

This paper provides a method to construct simultaneous confidence bands for quantile and quantile effect functions for … and does not depend on the sampling schemes. It is based upon projection of simultaneous confidence bands for distribution … rendering standard inference methods invalid for obtaining uniform confidence bands for quantile and quantile effects functions. …

Modern construction of uniform confidence bands for nonparametric densities (and other functions) often relies on the …. We then apply this result to derive a Gaussian multiplier boot-strap procedure for constructing honest confidence bands … confidence bands. Finally, of independent interest is our introduction of a new, practical version of Lepski's method, which …

This paper provides a method to construct simultaneous confidence bands for quantile and quantile effect functions for … and does not depend on the sampling schemes. It is based upon projection of simultaneous confidence bands for distribution … rendering standard inference methods invalid for obtaining uniform confidence bands for quantile and quantile effects functions. …

This paper proposes a new non-parametric method of constructing joint confidence bands for impulse response functions …