Journal article

Authors list: Grabowski, D; Staszewska-Bystrova, A; Winker, P

Publication year: 2020

Pages: 5-32

Journal: AStA Advances in Statistical Analysis

Volume number: 104

Issue number: 1

ISSN: 1863-8171

eISSN: 1863-818X

DOI Link: https://doi.org/10.1007/s10182-018-00347-9

Publisher: Springer

Abstract: 
Inference on impulse response functions from vector autoregressive models is commonly done using bootstrap methods. These methods can be inaccurate in small samples and for persistent processes. This article investigates the construction of skewness-adjusted confidence intervals and joint confidence bands for impulse responses with improved small sample performance. We suggest to adjust the skewness of the bootstrap distribution of the autoregressive coefficients before the impulse response functions are computed. Using extensive Monte Carlo simulations, the approach is shown to improve the coverage accuracy in small- and medium-sized samples and for unit-root processes.

Harvard Citation style: Grabowski, D., Staszewska-Bystrova, A. and Winker, P. (2020) Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions, AStA Advances in Statistical Analysis, 104(1), pp. 5-32. https://doi.org/10.1007/s10182-018-00347-9

APA Citation style: Grabowski, D., Staszewska-Bystrova, A., & Winker, P. (2020). Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions. AStA Advances in Statistical Analysis. 104(1), 5-32. https://doi.org/10.1007/s10182-018-00347-9