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Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions

Author

Listed:
  • Wolfgang K. Härdle
  • Chen Huang
  • Shih-Kang Chao

Abstract

Oberwolfach Report: New Developments in Functional and Highly Multivariate Statistical Methodology

Suggested Citation

  • Wolfgang K. Härdle & Chen Huang & Shih-Kang Chao, 2016. "Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions," SFB 649 Discussion Papers SFB649DP2016-018, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    • Handle: RePEc:hum:wpaper:sfb649dp2016-018
    as

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    File URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2016-018.pdf
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    References listed on IDEAS

    as
    1. Shih-Kang Chao & Wolfgang K. Härdle & Ming Yuan, 2015. "Factorisable Sparse Tail Event Curves," SFB 649 Discussion Papers SFB649DP2015-034, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    2. Ming Yuan & Ali Ekici & Zhaosong Lu & Renato Monteiro, 2007. "Dimension reduction and coefficient estimation in multivariate linear regression," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 69(3), pages 329-346, June.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    multivariate functional data; high-dimensional M-estimators; nuclear norm regularizer; factor analysis; expectile regression; fMRI; risk perception;
    All these keywords.

    JEL classification:

    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C91 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Individual Behavior
    • D87 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Neuroeconomics

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