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,
09.03.2016
| Seminar: UNSW Business School
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
Helmut Lütkepohl
Dortmund,
27.01.2016
- 28.01.2016| Kick-off Workshop of the DFG Project: Estimation and Inference Theory for Cointegrated Processes in the State Space Representation: Fakultät Statistik, Technische Universität Dortmund
Helmut Lütkepohl, Aleksej Netsunajev
Florenz, Italien,
15.01.2016
- 21.08.2015| Conference for the 40th Anniversary of the European University Institute - Economics Department: Conference in Honour of Jessica Spataro
Helmut Lütkepohl
Paris, Frankreich,
05.11.2015
- 06.11.2015| Advances in Time Series and Forecasting: Conference in Honour of Professor Jean-Pierre Indjehagopian. ESSEC Business School