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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 prespecified...
Persistent link: https://www.econbiz.de/10009735723
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 distribution in the Bayesian framework or the joint asymptotic...
Persistent link: https://www.econbiz.de/10010233995
This paper proposes a new non-parametric method of constructing joint confidence bands for impulse response functions of vector autoregressive models. The estimation uncertainty is captured by means of bootstrapping and the highest density region (HDR) approach is used to construct the bands. A...
Persistent link: https://www.econbiz.de/10011446084
There is evidence that estimates of long-run impulse responses of structural vector autoregressive (VAR) models based on long-run identifying restrictions may not be very accurate. This finding suggests that using short-run identifying restrictions may be preferable. We compare structural VAR...
Persistent link: https://www.econbiz.de/10011595499
Methods for constructing joint confidence bands for impulse response functions which are commonly used in vector autoregressive analysis are reviewed. While considering separate intervals for each horizon individually still seems to be the most common approach, a substantial number of methods...
Persistent link: https://www.econbiz.de/10011911038