Reducing confidence bands for simulated impulse responses

DOI10.1007/S00362-013-0510-5MaRDI QIDQ379920zbMATH OpenOpenAlexFDO

Authors Helmut Lütkepohl

Publication date 11 November 2013

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL http://www.diw.de/documents/publikationen/73/diw_01.c.407105.de/dp1235.pdf

zbMATH Keywords

bootstrapimpulse responsesBayesian estimationvector autoregressive process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

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Cites work

• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• A new test for structural stability in the linear regression model
• Applied Time Series Econometrics
• Comparison of bootstrap confidence intervals for impulse responses of German monetary systems
• Measuring The Reaction of Monetary Policy to the Stock Market
• Methods for inference in large multiple-equation Markov-switching models
• Structural vector autoregressions with Markov switching
• Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks
• Testing for Structural Change in Dynamic Models
• The Cusum Test with Ols Residuals

Cited in

(8)

• Improved bootstrap prediction intervals for SETAR models
• Joint confidence sets for structural impulse responses
• How accurate are confidence intervals for impulse responses in large VAR models?
• Representing uncertainty about response paths: the use of heuristic optimisation methods
• Error Bands for Impulse Responses
• Wild bootstrap tests for autocorrelation in vector autoregressive models
• On the maximal deviation of kernel regression estimators with NMAR response variables
• Confidence Regions for Multipliers in Linear Dynamic Models

Describes a project that uses

Uses Software

• JMulTi

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