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

Citations

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Cited by:

  1. Inoue, Atsushi & Kilian, Lutz, 2016. "Joint confidence sets for structural impulse responses," Journal of Econometrics, Elsevier, vol. 192(2), pages 421-432.
  2. Jørgen Bølstad & Christoph Elhardt, 2015. "To bail out or not to bail out? Crisis politics, credibility, and default risk in the Eurozone," European Union Politics, , vol. 16(3), pages 325-346, September.
  3. Atsushi Inoue & Lutz Kilian, 2020. "The Role of the Prior in Estimating VAR Models with Sign Restrictions," Working Papers 2030, Federal Reserve Bank of Dallas.
  4. Yanwei Zhang & Hualin Xie, 2019. "Interactive Relationship among Urban Expansion, Economic Development, and Population Growth since the Reform and Opening up in China: An Analysis Based on a Vector Error Correction Model," Land, MDPI, vol. 8(10), pages 1-31, October.
  5. 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, Central European Journal of Economic Modelling and Econometrics, vol. 6(2), pages 89-104, June.
  6. Schüssler, Rainer & Trede, Mark, 2016. "Constructing minimum-width confidence bands," Economics Letters, Elsevier, vol. 145(C), pages 182-185.
  7. repec:diw:diwwpp:dp1642 is not listed on IDEAS
  8. 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.
  9. repec:diw:diwwpp:dp1354 is not listed on IDEAS
  10. Yambolov, Andrian, 2025. "How to conduct joint Bayesian inference in VAR models?," Working Paper Series 3100, European Central Bank.
  11. Lütkepohl, Helmut & Schlaak, Thore, 2019. "Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH," Journal of Economic Dynamics and Control, Elsevier, vol. 101(C), pages 41-61.
  12. Martin Bruns & Helmut Lütkepohl, 2023. "An Alternative Bootstrap for Proxy Vector Autoregressions," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1857-1882, December.
  13. Lynda Khalaf & Beatriz Peraza López, 2020. "Simultaneous Indirect Inference, Impulse Responses and ARMA Models," Econometrics, MDPI, vol. 8(2), pages 1-26, April.
  14. Jochen Güntner & Magnus Reif & Maik Wolters, 2024. "Sudden stop: Supply and demand shocks in the German natural gas market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(7), pages 1282-1300, November.
  15. Walentin, Karl, 2014. "Business cycle implications of mortgage spreads," Journal of Monetary Economics, Elsevier, vol. 67(C), pages 62-77.
  16. 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.
  17. repec:hum:wpaper:sfb649dp2014-007 is not listed on IDEAS
  18. Inoue, Atsushi & Kilian, Lutz, 2022. "Joint Bayesian inference about impulse responses in VAR models," Journal of Econometrics, Elsevier, vol. 231(2), pages 457-476.
  19. Bruns, Martin & Lütkepohl, Helmut, 2022. "Comparison of local projection estimators for proxy vector autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
  20. 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.
  21. Joyce Jacobsen & Melanie Khamis & Mutlu Yuksel, 2024. "Demography, Human Capital Investment, and Lifetime Earnings for Women and Men," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 50(3), pages 259-277, June.
  22. M. Raddant & T. Di Matteo, 2023. "A look at financial dependencies by means of econophysics and financial economics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 18(4), pages 701-734, October.
  23. repec:diw:diwwpp:dp1940 is not listed on IDEAS
  24. Inoue, Atsushi & Kilian, Lutz, 2020. "The uniform validity of impulse response inference in autoregressions," Journal of Econometrics, Elsevier, vol. 215(2), pages 450-472.
  25. Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018. "Estimation of structural impulse responses: short-run versus long-run identifying restrictions," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 102(2), pages 229-244, April.
  26. Thomas F. P. Wiesen & Paul M. Beaumont, 2024. "A joint impulse response function for vector autoregressive models," Empirical Economics, Springer, vol. 66(4), pages 1553-1585, April.
  27. Lenard Lieb & Stephan Smeekes, 2017. "Inference for Impulse Responses under Model Uncertainty," Papers 1709.09583, arXiv.org, revised Oct 2019.
  28. repec:diw:diwwpp:dp1762 is not listed on IDEAS
  29. Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2020. "Constructing joint confidence bands for impulse response functions of VAR models – A review," Econometrics and Statistics, Elsevier, vol. 13(C), pages 69-83.
  30. Grabowski Daniel & Staszewska-Bystrova Anna & Winker Peter, 2017. "Generating prediction bands for path forecasts from SETAR models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(5), pages 1-18, December.
  31. Demetrescu, Matei & Salish, Nazarii, 2024. "(Structural) VAR models with ignored changes in mean and volatility," International Journal of Forecasting, Elsevier, vol. 40(2), pages 840-854.
  32. Niklas Ahlgren & Paul Catani, 2017. "Wild bootstrap tests for autocorrelation in vector autoregressive models," Statistical Papers, Springer, vol. 58(4), pages 1189-1216, December.
  33. Jan Lohmeyer & Franz Palm & Jean‐Pierre Urbain, 2024. "Consistency of averaged impulse response estimators in vector autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 45(5), pages 691-713, September.
  34. 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.
  35. Kučera, Adam & Kočenda, Evžen & Maršál, Aleš, 2025. "Yield curve dynamics and fiscal policy shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 178(C).
  36. Fresoli, Diego & Ruiz, Esther & Pascual, Lorenzo, 2015. "Bootstrap multi-step forecasts of non-Gaussian VAR models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 834-848.
  37. Nikolaos Antonakakis & Ioannis Chatziantoniou & David Gabauer, 2020. "Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions," JRFM, MDPI, vol. 13(4), pages 1-23, April.
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