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

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Author Info

  • 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.

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File URL: http://www.diw.de/documents/publikationen/73/diw_01.c.419527.de/dp1292.pdf
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Bibliographic Info

Paper provided by DIW Berlin, German Institute for Economic Research in its series Discussion Papers of DIW Berlin with number 1292.

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Length: 28 p.
Date of creation: 2013
Date of revision:
Handle: RePEc:diw:diwwpp:dp1292

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Keywords: Vector autoregressive process; impulse responses; bootstrap; confidence band;

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References

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  1. Kilian, Lutz, 2001. "Impulse Response Analysis in Vector Autoregressions with Unknown Lag Order," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 20(3), pages 161-79, April.
  2. Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," American Economic Review, American Economic Association, American Economic Association, vol. 99(3), pages 1053-69, June.
  3. Christopher A. Sims & Tao Zha, 1994. "Error Bands for Impulse Responses," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1085, Cowles Foundation for Research in Economics, Yale University.
  4. Staszewska-Bystrova, Anna & Winker, Peter, 2013. "Constructing narrowest pathwise bootstrap prediction bands using threshold accepting," International Journal of Forecasting, Elsevier, Elsevier, vol. 29(2), pages 221-233.
  5. Renee Fry & Adrian Pagan, 2010. "Sign Restrictions in Structural Vector Autoregressions: A Critical Review," NCER Working Paper Series, National Centre for Econometric Research 57, National Centre for Econometric Research.
  6. �scar Jord� & Massimiliano Marcellino, 2010. "Path forecast evaluation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 25(4), pages 635-662.
  7. Anna Staszewska, 2006. "Representing Uncertainty about Response Paths: the Use of Heuristic Optimisation Methods," Computing in Economics and Finance 2006, Society for Computational Economics 379, Society for Computational Economics.
  8. Anna Staszewska-Bystrova, 2013. "Modified Scheffé’s Prediction Bands," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 233(5-6), pages 680-690, October.
  9. Anna Staszewska‐Bystrova, 2011. "Bootstrap prediction bands for forecast paths from vector autoregressive models," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 30(8), pages 721-735, December.
  10. Jae H. Kim, 2004. "Bias-corrected bootstrap prediction regions for vector autoregression," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 23(2), pages 141-154.
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Cited by:
  1. Friedrich Poeschel, 2013. "Assortative matching through signals," 2013 Papers, Job Market Papers ppo178, Job Market Papers.
  2. 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, CEJEME, CEJEME, vol. 6(2), pages 89-104, June.
  3. Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2014. "Confidence Bands for Impulse Responses: Bonferroni versus Wald," Discussion Papers of DIW Berlin 1354, DIW Berlin, German Institute for Economic Research.
  4. Inoue, Atsushi & Kilian, Lutz, 2014. "Joint Confidence Sets for Structural Impulse Responses," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9892, C.E.P.R. Discussion Papers.
  5. Anna Staszewska-Bystrova, 2013. "Modified Scheffé’s Prediction Bands," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 233(5-6), pages 680-690, October.

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