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Representing uncertainty about response paths: The use of heuristic optimisation methods

  • Staszewska, Anna

In 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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File URL: http://www.sciencedirect.com/science/article/B6V8V-4MM7T4V-1/2/a2d6faf40244e34561ad3e25dab9af7d
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Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 52 (2007)
Issue (Month): 1 (September)
Pages: 121-132

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Handle: RePEc:eee:csdana:v:52:y:2007:i:1:p:121-132
Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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  1. Benkwitz, Alexander & Lütkepohl, Helmut & Wolters, Jürgen, 1999. "Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems," CEPR Discussion Papers 2208, C.E.P.R. Discussion Papers.
  2. Ben S. Bernanke & Mark Gertler, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," NBER Working Papers 5146, National Bureau of Economic Research, Inc.
  3. Christopher A. Sims & Tao Zha, 1994. "Error Bands for Impulse Responses," Cowles Foundation Discussion Papers 1085, Cowles Foundation for Research in Economics, Yale University.
  4. Staszewska, Anna & Aldrich, John, 2005. "The experiment in macroeconometrics," Discussion Paper Series In Economics And Econometrics 0604, Economics Division, School of Social Sciences, University of Southampton.
  5. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
  6. Lutz Kilian, 1998. "Small-Sample Confidence Intervals For Impulse Response Functions," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 218-230, May.
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