منابع مشابه
Reducing 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 کاملConfidence 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 کاملTriphasic temporal impulse responses and Mach bands in time
The effect of inducing stimuli on the luminance of a brief test stimulus (2.5'-wide line) required to match the brightness of a comparison stimulus was measured at various stimulus onset asynchronies (SOAs). Assuming that the test brightness is determined by the peak response to the test stimulus, the difference in the test brightness in the absence and in the presence of an inducing stimulus a...
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 کاملGeneralized Impulse Responses
This note discusses how to compute generalized impulse responses and their asymptotic distribution. The results I present are essentially vector versions of what has already been shown by, e.g., Pesaran and Shin (1998). The value added is therefore measurable in terms of providing simpler algorithms for writing the computer code needed to make use of generalized impulse responses in practise.
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ژورنال
عنوان ژورنال: Econometrica
سال: 1999
ISSN: 0012-9682,1468-0262
DOI: 10.1111/1468-0262.00071