IDEAS home Printed from https://ideas.repec.org/p/sce/scecfa/379.html

Representing Uncertainty about Response Paths: the Use of Heuristic Optimisation Methods

Author

Listed:
  • Anna Staszewska

    (Chair of Econometric Models and Forecast University of Lodz)

Abstract

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

Suggested Citation

  • 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.
    • Handle: RePEc:sce:scecfa:379
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Stefan Bruder & Michael Wolf, 2018. "Balanced Bootstrap Joint Confidence Bands for Structural Impulse Response Functions," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(5), pages 641-664, September.
    2. repec:hum:wpaper:sfb649dp2013-031 is not listed on IDEAS
    3. Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2015. "Comparison of methods for constructing joint confidence bands for impulse response functions," International Journal of Forecasting, Elsevier, vol. 31(3), pages 782-798.
    4. repec:hum:wpaper:sfb649dp2014-007 is not listed on IDEAS
    5. Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2020. "Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(1), pages 5-32, March.
    6. Anna Staszewska‐Bystrova, 2011. "Bootstrap prediction bands for forecast paths from vector autoregressive models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(8), pages 721-735, December.
    7. Staszewska-Bystrova Anna, 2013. "Modified Scheffé’s Prediction Bands," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 233(5-6), pages 680-690, October.
    8. Schüssler, Rainer & Trede, Mark, 2016. "Constructing minimum-width confidence bands," Economics Letters, Elsevier, vol. 145(C), pages 182-185.
    9. 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.
    10. Lynda Khalaf & Beatriz Peraza López, 2020. "Simultaneous Indirect Inference, Impulse Responses and ARMA Models," Econometrics, MDPI, vol. 8(2), pages 1-26, April.
    11. Victor Bystrov, 2014. "A factor-augmented model of markup on mortgage loans in Poland," Bank i Kredyt, Narodowy Bank Polski, vol. 45(6), pages 491-512.
    12. Anna Staszewska-Bystrova, 2009. "Bootstrap Confidence Bands for Forecast Paths," Working Papers 024, COMISEF.
    13. Antoniadis, Anestis & Brossat, Xavier & Cugliari, Jairo & Poggi, Jean-Michel, 2016. "A prediction interval for a function-valued forecast model: Application to load forecasting," International Journal of Forecasting, Elsevier, vol. 32(3), pages 939-947.
    14. Gilli, Manfred & Winker, Peter, 2007. "2nd Special Issue on Applications of Optimization Heuristics to Estimation and Modelling Problems," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 2-3, September.
    15. Staszewska-Bystrova, Anna & Winker, Peter, 2013. "Constructing narrowest pathwise bootstrap prediction bands using threshold accepting," International Journal of Forecasting, Elsevier, vol. 29(2), pages 221-233.
    16. Manfred GILLI & Peter WINKER, 2008. "A review of heuristic optimization methods in econometrics," Swiss Finance Institute Research Paper Series 08-12, Swiss Finance Institute.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    JEL classification:

    • 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; State Space Models
    • C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sce:scecfa:379. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F. Baum (email available below). General contact details of provider: https://edirc.repec.org/data/sceeeea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.