Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions

31 Pages Posted: 18 Apr 2013

See all articles by Helmut Luetkepohl

Helmut Luetkepohl

German Institute for Economic Research (DIW Berlin)

Anna Staszewska-Bystrova

University of Lodz, Department of Economics and Sociology

Peter Winker

University of Giessen - Department of Economics

Date Written: April 12, 2013

Abstract

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.

Keywords: Vector autoregressive process, impulse responses, bootstrap, confidence band

JEL Classification: C32

Suggested Citation

Luetkepohl, Helmut and Staszewska-Bystrova, Anna and Winker, Peter, Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions (April 12, 2013). DIW Berlin Discussion Paper No. 1292. Available at SSRN: https://ssrn.com/abstract=2253274 or http://dx.doi.org/10.2139/ssrn.2253274

Helmut Luetkepohl (Contact Author)

German Institute for Economic Research (DIW Berlin) ( email )

Mohrenstra├če 58
Berlin, 10117
Germany

Anna Staszewska-Bystrova

University of Lodz, Department of Economics and Sociology ( email )

Narutowicza 65 str.
PL 90-131, Lodz
Poland

Peter Winker

University of Giessen - Department of Economics ( email )

Licher Str. 62
D-35394 Giessen, DE
Germany

HOME PAGE: http://wiwi.uni-giessen.de/home/oekonometrie/

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