Arbeitspapier
Constructing joint confidence bands for impulse response functions of VAR models: A review
Methods for constructing joint confidence bands for impulse response functions which are commonly used in vector autoregressive analysis are reviewed. While considering separate intervals for each horizon individually still seems to be the most common approach, a substantial number of methods have been proposed for making joint inferences about the complete impulse response paths up to a given horizon. A structured presentation of these methods is provided. Furthermore, existing evidence on the small-sample performance of the methods is gathered. The collected information can help practitioners to decide on a suitable confidence band for a structural VAR analysis.
- Sprache
-
Englisch
- Erschienen in
-
Series: DIW Discussion Papers ; No. 1762
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Thema
-
impulse responses
vector autoregressive model
joint confidence bands
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lütkepohl, Helmut
Staszewska-Bystrova, Anna
Winker, Peter
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsches Institut für Wirtschaftsforschung (DIW)
- (wo)
-
Berlin
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Lütkepohl, Helmut
- Staszewska-Bystrova, Anna
- Winker, Peter
- Deutsches Institut für Wirtschaftsforschung (DIW)
Entstanden
- 2018
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