Journal article

Publication year: 2015

Pages: 800-821

Journal: Oxford Bulletin of Economics and Statistics

Volume number: 77

Issue number: 6

ISSN: 0305-9049

eISSN: 1468-0084

DOI Link: https://doi.org/10.1111/obes.12114

Publisher: Wiley

Abstract: 
In impulse response analysis estimation uncertainty is typically displayed by constructing bands around estimated impulse response functions. If they are based on the joint asymptotic distribution possibly constructed with bootstrap methods in a frequentist framework, often individual confidence intervals are simply connected to obtain the bands. Such bands are known to be too narrow and have a joint coverage probability lower than the desired one. If instead the Wald statistic is used and the joint bootstrap distribution of the impulse response coefficient estimators is taken into account and mapped into the band, it is shown that such a band is typically rather conservative. It is argued that, by using the Bonferroni method, a band can often be obtained which is smaller than the Wald band.

Harvard Citation style: Lütkepohl, H., Staszewska-Bystrova, A. and Winker, P. (2015) Confidence Bands for Impulse Responses: Bonferroni vs. Wald, Oxford Bulletin of Economics and Statistics, 77(6), pp. 800-821. https://doi.org/10.1111/obes.12114

APA Citation style: Lütkepohl, H., Staszewska-Bystrova, A., & Winker, P. (2015). Confidence Bands for Impulse Responses: Bonferroni vs. Wald. Oxford Bulletin of Economics and Statistics. 77(6), 800-821. https://doi.org/10.1111/obes.12114