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
Pierre Baudewyns, Chloé Janssen, Constanza Sanhueza Petrarca, Diana Schacht
Philadelphia, USA,
01.09.2016
- 04.09.2016| Great Transformations: Political Science and the Big Questions of Our Time: 2016 APSA Annual Meeting
Lucas Geese, Chloé Janssen, Constanza Sanhueza Petrarca, Diana Schacht
Philadelphia, USA,
01.09.2016
- 04.09.2016| Great Transformations: Political Science and the Big Questions of Our Time: 2016 APSA Annual Meeting
Pauline Affeldt, Rainer Nitsche
Lissabon, Portugal,
26.08.2016
- 28.08.2016| 43rd Annual Conference of the European Association for Research in Industrial Economics: EARIE 2016
Pio Baake, Slobodan Sudaric
Lissabon, Portugal,
26.08.2016
- 28.08.2016| 43rd Annual Conference of the European Association for Research in Industrial Economics: EARIE 2016
Endre Björndal, Mette Björndal, Astrid Cullmann, Maria Nieswand
Lissabon, Portugal,
26.08.2016
- 28.08.2016| 43rd Annual Conference of the European Association for Research in Industrial Economics: EARIE 2016