Journal article

Publication year: 2015

Pages: 782-798

Journal: International Journal of Forecasting

Volume number: 31

Issue number: 3

ISSN: 0169-2070

eISSN: 1872-8200

Open access status: Green

DOI Link: https://doi.org/10.1016/j.ijforecast.2013.08.003

Publisher: Elsevier

Abstract: 

In vector autoregressive analyses, confidence intervals for individual impulse responses are typically reported in order to indicate the sampling uncertainty in the estimation results. Various methods are reviewed, and a new method for the construction of joint confidence bands, given a prespecified coverage level, for the impulse responses at all horizons considered simultaneously, is proposed. The methods are compared in a simulation experiment and recommendations for empirical work are provided.

Harvard Citation style: Lütkepohl, H., Staszewska-Bystrova, A. and Winker, P. (2015) Comparison of methods for constructing joint confidence bands for impulse response functions, International Journal of Forecasting, 31(3), pp. 782-798. https://doi.org/10.1016/j.ijforecast.2013.08.003

APA Citation style: Lütkepohl, H., Staszewska-Bystrova, A., & Winker, P. (2015). Comparison of methods for constructing joint confidence bands for impulse response functions. International Journal of Forecasting. 31(3), 782-798. https://doi.org/10.1016/j.ijforecast.2013.08.003