Journalartikel

Autorenliste: Lütkepohl, H; Staszewska-Bystrova, A; Winker, P

Jahr der Veröffentlichung: 2020

Seiten: 69-83

Zeitschrift: Econometrics and Statistics

Bandnummer: 13

ISSN: 2468-0389

eISSN: 2452-3062

Open Access Status: Green

DOI Link: https://doi.org/10.1016/j.ecosta.2018.10.002

Verlag: Elsevier

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.

Harvard-Zitierstil: Lütkepohl, H., Staszewska-Bystrova, A. and Winker, P. (2020) Constructing joint confidence bands for impulse response functions of VAR models – A review, Econometrics and Statistics, 13, pp. 69-83. https://doi.org/10.1016/j.ecosta.2018.10.002

APA-Zitierstil: Lütkepohl, H., Staszewska-Bystrova, A., & Winker, P. (2020). Constructing joint confidence bands for impulse response functions of VAR models – A review. Econometrics and Statistics. 13, 69-83. https://doi.org/10.1016/j.ecosta.2018.10.002