In structural vector autoregressive analysis identifying the shocks of interest via heteroskedasticity has become a standard tool. Unfortunately, the approaches currently used for modelling heteroskedasticity all have drawbacks. For instance, assuming known dates for variance changes is often unrealistic while more exible models based on GARCH or Markov switching residuals are difficult to handle...
Helmut Lütkepohl, Aleksei Netsunajev
Hobart, Australien,
04.03.2016
| Economics & Finance Seminar Series: Tasmanian School of Business & Economics, University of Tasmania
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...
Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
Sydney, Australien,
01.03.2016
| Economics Research Group Seminars: University of Sydney
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...
Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
Sydney, Australien,
25.02.2016
| Research Seminar: Macquarie University
Karsten Neuhoff
Brüssel, Belgien,
23.02.2016
| Public Hearing on "Energy Costs and EU Industry Competitiveness": European Parliament, Directorate General for Internal Policies, Committee on Industry, Research and Energy (ITRE)
Johannes Geyer
Hannover,
22.02.2016
| Gesund ist das nicht! Altersarmut als Realität und Zukunftstrend: Veranstaltung der Landesvereinigung für Gesundheit und Akademie für Sozialmedizin Niedersachsen e.V.