Representing uncertainty about response paths: The use of heuristic optimisation methods
AbstractIn impulse response analysis the construction of intervals for the response at a particular time is a familiar topic. This paper considers the construction of confidence bands for the path of reponses. It investigates the feasibility of procedures based on heuristic optimisation methods for constructing bootstrap confidence bands and evaluates the coverage properties of these bands for a stylised empirical VEC model
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Bibliographic InfoArticle provided by Elsevier in its journal Computational Statistics & Data Analysis.
Volume (Year): 52 (2007)
Issue (Month): 1 (September)
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Other versions of this item:
- Anna Staszewska, 2006. "Representing Uncertainty about Response Paths: the Use of Heuristic Optimisation Methods," Computing in Economics and Finance 2006 379, Society for Computational Economics.
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
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