Journal article

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

Publication year: 2020

Pages: 69-83

Journal: Econometrics and Statistics

Volume number: 13

ISSN: 2468-0389

eISSN: 2452-3062

Open access status: Green

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

Publisher: 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 Citation style: 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 Citation style: 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