IDEAS home Printed from https://ideas.repec.org/r/zbw/sfb649/sfb649dp2013-031.html
   My bibliography  Save this item

Comparison of methods for constructing joint confidence bands for impulse response functions

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Stefan Bruder & Michael Wolf, 2018. "Balanced Bootstrap Joint Confidence Bands for Structural Impulse Response Functions," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(5), pages 641-664, September.
  2. Lütkepohl, Helmut & Schlaak, Thore, 2019. "Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH," Journal of Economic Dynamics and Control, Elsevier, vol. 101(C), pages 41-61.
  3. Demetrescu, Matei & Salish, Nazarii, 2024. "(Structural) VAR models with ignored changes in mean and volatility," International Journal of Forecasting, Elsevier, vol. 40(2), pages 840-854.
  4. Staszewska-Bystrova Anna, 2013. "Modified Scheffé’s Prediction Bands," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 233(5-6), pages 680-690, October.
  5. Schüssler, Rainer & Trede, Mark, 2016. "Constructing minimum-width confidence bands," Economics Letters, Elsevier, vol. 145(C), pages 182-185.
  6. repec:diw:diwwpp:dp1642 is not listed on IDEAS
  7. Lynda Khalaf & Beatriz Peraza López, 2020. "Simultaneous Indirect Inference, Impulse Responses and ARMA Models," Econometrics, MDPI, vol. 8(2), pages 1-26, April.
  8. Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2020. "Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(1), pages 5-32, March.
  9. Bruns, Martin & Lütkepohl, Helmut, 2022. "Comparison of local projection estimators for proxy vector autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
  10. Inoue, Atsushi & Kilian, Lutz, 2020. "The uniform validity of impulse response inference in autoregressions," Journal of Econometrics, Elsevier, vol. 215(2), pages 450-472.
  11. Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2020. "Constructing joint confidence bands for impulse response functions of VAR models – A review," Econometrics and Statistics, Elsevier, vol. 13(C), pages 69-83.
  12. Niklas Ahlgren & Paul Catani, 2017. "Wild bootstrap tests for autocorrelation in vector autoregressive models," Statistical Papers, Springer, vol. 58(4), pages 1189-1216, December.
  13. repec:diw:diwwpp:dp1913 is not listed on IDEAS
  14. Nikolaos Antonakakis & Ioannis Chatziantoniou & David Gabauer, 2020. "Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions," JRFM, MDPI, vol. 13(4), pages 1-23, April.
  15. Boer, Lukas & Lütkepohl, Helmut, 2021. "Qualitative versus quantitative external information for proxy vector autoregressive analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
  16. Adam Kuèera & Evžen Koèenda & Aleš Maršál, 2019. "Yield Curve Dynamics and Fiscal Policy Shocks," Working and Discussion Papers WP 2/2019, Research Department, National Bank of Slovakia.
  17. repec:hum:wpaper:sfb649dp2014-007 is not listed on IDEAS
  18. Poeschel, Friedrich, 2012. "Assortative matching through signals," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62061, Verein für Socialpolitik / German Economic Association.
  19. Güntner, Jochen & Reif, Magnus & Wolters, Maik H., 2024. "Sudden stop: Supply and demand shocks in the German natural gas market," Discussion Papers 22/2024, Deutsche Bundesbank.
  20. Joyce Jacobsen & Melanie Khamis & Mutlu Yuksel, 2024. "Demography, Human Capital Investment, and Lifetime Earnings for Women and Men," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 50(3), pages 259-277, June.
  21. Inoue, Atsushi & Kilian, Lutz, 2016. "Joint confidence sets for structural impulse responses," Journal of Econometrics, Elsevier, vol. 192(2), pages 421-432.
  22. Jørgen Bølstad & Christoph Elhardt, 2015. "To bail out or not to bail out? Crisis politics, credibility, and default risk in the Eurozone," European Union Politics, , vol. 16(3), pages 325-346, September.
  23. repec:diw:diwwpp:dp1354 is not listed on IDEAS
  24. Martin Bruns & Helmut Lütkepohl, 2023. "An Alternative Bootstrap for Proxy Vector Autoregressions," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1857-1882, December.
  25. Kilian, Lutz & Inoue, Atsushi, 2020. "The Role of the Prior in Estimating VAR Models with Sign Restrictions," CEPR Discussion Papers 15545, C.E.P.R. Discussion Papers.
  26. M. Raddant & T. Di Matteo, 2023. "A look at financial dependencies by means of econophysics and financial economics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 18(4), pages 701-734, October.
  27. Lenard Lieb & Stephan Smeekes, 2017. "Inference for Impulse Responses under Model Uncertainty," Papers 1709.09583, arXiv.org, revised Oct 2019.
  28. Anna Staszewska-Bystrova & Peter Winker, 2014. "Measuring Forecast Uncertainty of Corporate Bond Spreads by Bonferroni-Type Prediction Bands," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 6(2), pages 89-104, June.
  29. Walentin, Karl, 2014. "Business cycle implications of mortgage spreads," Journal of Monetary Economics, Elsevier, vol. 67(C), pages 62-77.
  30. Inoue, Atsushi & Kilian, Lutz, 2022. "Joint Bayesian inference about impulse responses in VAR models," Journal of Econometrics, Elsevier, vol. 231(2), pages 457-476.
  31. Winker, Peter & Helmut, Lütkepohl & Staszewska-Bystrova, Anna, 2014. "Confidence Bands for Impulse Responses: Bonferroni versus Wald," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100597, Verein für Socialpolitik / German Economic Association.
  32. Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018. "Estimation of structural impulse responses: short-run versus long-run identifying restrictions," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 102(2), pages 229-244, April.
  33. Grabowski Daniel & Staszewska-Bystrova Anna & Winker Peter, 2017. "Generating prediction bands for path forecasts from SETAR models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(5), pages 1-18, December.
  34. Yanwei Zhang & Hualin Xie, 2019. "Interactive Relationship among Urban Expansion, Economic Development, and Population Growth since the Reform and Opening up in China: An Analysis Based on a Vector Error Correction Model," Land, MDPI, vol. 8(10), pages 1-31, October.
  35. Fresoli, Diego & Ruiz, Esther & Pascual, Lorenzo, 2015. "Bootstrap multi-step forecasts of non-Gaussian VAR models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 834-848.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.