Working paper/research report

Publication year: 2013

URL: http://hdl.handle.net/10419/72622

Title of series: DIW Discussion Papers

Number in series: 1292

Abstract: 

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 coverage level, for the impulse responses at all horizons considered simultaneously. 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. (2013) Comparison of methods for constructing joint confidence bands for impulse response functions. (DIW Discussion Papers, 1292). Berlin: Deutsches Institut für Wirtschaftsforschung (DIW). http://hdl.handle.net/10419/72622

APA Citation style: Lütkepohl, H., Staszewska-Bystrova, A., & Winker, P. (2013). Comparison of methods for constructing joint confidence bands for impulse response functions. (DIW Discussion Papers, 1292). Deutsches Institut für Wirtschaftsforschung (DIW). http://hdl.handle.net/10419/72622