Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
In vector autoregressive analysis confidence intervals for individual impulse responses are typically reported to indicate the sampling uncertainty in the estimation results. A range of methods are reviewed and a new proposal is made for constructing joint confidence bands, given a prespecified coverage level, for the impulse responses at all horizons considered simultaneously. The methods are compared in a simulation experiment and recommendations for empirical work are provided.
JEL-Classification: C32
Keywords: Vector autoregressive process, impulse responses, bootstrap, confidence band
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