Julia Rechlitz, Astrid Cullmann, Maria Nieswand
Augsburg,
04.09.2016
- 07.09.2016| Demographischer Wandel: Jahrestagung 2016 des Vereins für Socialpolitik
This paper proposes a new non-parametric method of constructing joint confidence bands for impulse response functions of vector autoregressive models. The estimation uncertainty is captured by means of bootstrapping and the highest density region (HDR) approach is used to construct the bands. A Monte Carlo comparison of the HDR bands with existing alternatives shows that the former are competitive...
Peter Winker, Helmut Lütkepohl, Anna Staszewska-Bystrova
Augsburg,
04.09.2016
- 07.09.2016| Demographischer Wandel: Jahrestagung 2016 des Vereins für Socialpolitik