Journal article

Authors list: Lütkepohl, H; Staszewska-Bystrova, A; Winker, P

Publication year: 2018

Pages: 1389-1411

Journal: Empirical Economics

Volume number: 55

Issue number: 4

ISSN: 0377-7332

eISSN: 1435-8921

DOI Link: https://doi.org/10.1007/s00181-017-1325-3

Publisher: Springer

Abstract: 

This paper proposes a new nonparametric method of constructing joint confidence bands for impulse response functions of vector autoregressive models. The estimation uncertainty is captured by means of bootstrapping, and the highest density region (HDR) approach is used to construct the bands. A Monte Carlo comparison of the HDR bands with existing alternatives shows that the former are competitive with the bootstrap-based Bonferroni and Wald confidence regions. The relative tightness of the HDR bands matched with their good coverage properties makes them attractive for applications. An application to corporate bond spreads for Germany highlights the potential for empirical work.

Harvard Citation style: Lütkepohl, H., Staszewska-Bystrova, A. and Winker, P. (2018) Calculating joint confidence bands for impulse response functions using highest density regions, Empirical Economics, 55(4), pp. 1389-1411. https://doi.org/10.1007/s00181-017-1325-3

APA Citation style: Lütkepohl, H., Staszewska-Bystrova, A., & Winker, P. (2018). Calculating joint confidence bands for impulse response functions using highest density regions. Empirical Economics. 55(4), 1389-1411. https://doi.org/10.1007/s00181-017-1325-3