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Comparison of methods for constructing joint confidence bands for impulse response functions
Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - 2013
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 prespecifed...
Persistent link: https://www.econbiz.de/10009748563
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Calculating joint confidence bands for impulse response functions using highest density regions
Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - 2016
shows that the former are competitive with the bootstrap-based Bonferroni and Wald confidence regions. The relative …
Persistent link: https://www.econbiz.de/10011442327
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Calculating joint confidence bands for impulse response functions using highest density regions
Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - 2016
shows that the former are competitive with the bootstrap-based Bonferroni and Wald con dence regions. The relative tightness …
Persistent link: https://www.econbiz.de/10011452908
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Calculating joint confidence bands for impulse response functions using highest density regions
Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - 2016
shows that the former are competitive with the bootstrap-based Bonferroni and Wald confidence regions. The relative …
Persistent link: https://www.econbiz.de/10011446084
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Identifying the shocks behind business cycle asynchrony in Euroland
Trenkler, Carsten; Weber, Enzo - 2012
This paper investigates which shocks drive asynchrony of business cycles in the euro area. Thereby, it unites two strands of literature, those on common features and on structural VAR analysis. In particular, we show that the presence of a common cycle implies collinearity of structural impulse...
Persistent link: https://www.econbiz.de/10011489953
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Estimation of structural impulse responses : short-run versus long-run identifying restrictions
Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - 2017
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
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Constructing joint confidence bands for impulse response functions of VAR models : a review
Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - 2018
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
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An alternative bootstrap for proxy vector autoregressions
Bruns, Martin; Lütkepohl, Helmut - 2020
We propose a new bootstrap for inference for impulse responses in structural vector autoregressive models identified … with an external proxy variable. Simulations show that the new bootstrap provides confidence intervals for impulse responses … which often have more precise coverage than and similar length as the competing moving-block bootstrap intervals. An …
Persistent link: https://www.econbiz.de/10012313787
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Robust inference for non-Gaussian SVAR models
Hoesch, Lukas; Lee, Adam; Mesters, Geert - 2022
All parameters in structural vector autoregressive (SVAR) models are locally identified when the structural shocks are independent and follow non-Gaussian distributions. Unfortunately, standard inference methods that exploit such features of the data for identification fail to yield correct...
Persistent link: https://www.econbiz.de/10013417421
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Balanced bootstrap joint confidence bands for structural impulse response functions
Bruder, Stefan; Wolf, Michael - 2017
asymptotically. Such bands are based on a certain bootstrap procedure from the multiple-testing literature. We compare the finite … endogenizing the lag order in our bootstrap procedure on the finite-sample properties. Furthermore, an empirical application to a …
Persistent link: https://www.econbiz.de/10011630774