Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review

31 Pages Posted: 21 Oct 2018

See all articles by Helmut Lütkepohl

Helmut Lütkepohl

Free University of Berlin (FUB)

Anna Staszewska-Bystrova

University of Lodz, Department of Economics and Sociology

Peter Winker

University of Giessen - Department of Economics

Date Written: October 2018

Abstract

Methods for constructing joint confidence bands for impulse response functions which are commonly used in vector autoregressive analysis are reviewed. While considering separate intervals for each horizon individually still seems to be the most common approach, a substantial number of methods have been proposed for making joint inferences about the complete impulse response paths up to a given horizon. A structured presentation of these methods is provided. Furthermore, existing evidence on the small-sample performance of the methods is gathered. The collected information can help practitioners to decide on a suitable confidence band for a structural VAR analysis.

Keywords: Impulse responses, vector autoregressive model, joint confidence bands

JEL Classification: C32

Suggested Citation

Lütkepohl, Helmut and Staszewska-Bystrova, Anna and Winker, Peter, Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review (October 2018). DIW Berlin Discussion Paper No. 1762. Available at SSRN: https://ssrn.com/abstract=3269143 or http://dx.doi.org/10.2139/ssrn.3269143

Helmut Lütkepohl (Contact Author)

Free University of Berlin (FUB)

Otto Suhr Institut for Political Science\
Ihnestrasse 21
Berlin
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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