Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions
31 Pages Posted: 18 Apr 2013
Date Written: April 12, 2013
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: Suggested Citation