Confidence Bands for Impulse Responses: Bonferroni vs. Wald

22 Pages Posted: 27 Oct 2015

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: December 2015

Abstract

In impulse response analysis estimation uncertainty is typically displayed by constructing bands around estimated impulse response functions. If they are based on the joint asymptotic distribution possibly constructed with bootstrap methods in a frequentist framework, often individual confidence intervals are simply connected to obtain the bands. Such bands are known to be too narrow and have a joint coverage probability lower than the desired one. If instead the Wald statistic is used and the joint bootstrap distribution of the impulse response coefficient estimators is taken into account and mapped into the band, it is shown that such a band is typically rather conservative. It is argued that, by using the Bonferroni method, a band can often be obtained which is smaller than the Wald band.

Suggested Citation

Luetkepohl, Helmut and Staszewska-Bystrova, Anna and Winker, Peter, Confidence Bands for Impulse Responses: Bonferroni vs. Wald (December 2015). Oxford Bulletin of Economics and Statistics, Vol. 77, Issue 6, pp. 800-821, 2015. Available at SSRN: https://ssrn.com/abstract=2680431 or http://dx.doi.org/10.1111/obes.12114

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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