Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions
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Abstract
In vector autoregressive analysis confidence intervals for individual
impulse responses are typically reported to indicate the sampling uncertainty
in the estimation results. A range of methods are reviewed and a
new proposal is made for constructing joint confidence bands, given a prespecified coverage level, for the impulse responses at all horizons considered simultaneously. The methods are compared in a simulation experiment and recommendations for empirical work are provided.
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This item has been published with the following license: In Copyright