Confidence Bands for Impulse Responses: Bonferroni versus Wald
نویسندگان
چکیده
منابع مشابه
Confidence Bands for Impulse Responses: Bonferroni versus Wald
In impulse response analysis estimation uncertainty is typically displayed by constructing bands around estimated impulse response functions. These bands may be based on frequentist or Bayesian methods. If they are based on the joint distribution in the Bayesian framework or the joint asymptotic distribution possibly constructed with bootstrap methods in the frequentist framework often individu...
متن کاملReducing Confidence Bands for Simulated Impulse Responses
It is emphasized that the shocks in structural vector autoregressions are only identified up to sign and it is pointed out that this feature can result in very misleading confidence intervals for impulse responses if simulation methods such as Bayesian or bootstrap methods are used. The confidence intervals heavily depend on which variable is used for fixing the sign of the initial responses. I...
متن کاملBalanced Bootstrap Joint Confidence Bands for Structural Impulse Response Functions
Constructing joint confidence bands for structural impulse response functions based on a VAR model is a difficult task because of the non-linear nature of such functions. We propose new joint confidence bands that cover the entire true structural impulse response function up to a chosen maximum horizon with a prespecified probability (1−α), at least asymptotically. Such bands are based on a cer...
متن کاملAsymptotic confidence intervals for impulse responses of near-integrated processes
Many economic time series are characterized by high persistence which typically requires nonstandard limit theory for inference. This paper proposes a new method for constructing confidence intervals for impulse response functions and half-lives of nearly nonstationary processes. It is based on inverting the acceptance region of the likelihood ratio statistic under a sequence of null hypotheses...
متن کاملComparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions
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 ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2014
ISSN: 1556-5068
DOI: 10.2139/ssrn.2388130