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Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions

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  • Helmut Lütkepohl
  • Anna Staszewska-Bystrova
  • Peter Winker

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.

Suggested Citation

  • Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013. "Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions," Discussion Papers of DIW Berlin 1292, DIW Berlin, German Institute for Economic Research.
    • Handle: RePEc:diw:diwwpp:dp1292
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    References listed on IDEAS

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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Vector autoregressive process; impulse responses; bootstrap; confidence band;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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