Header

UZH-Logo

Maintenance Infos

Balanced bootstrap joint confidence bands for structural impulse response functions


Bruder, Stefan; Wolf, Michael (2018). Balanced bootstrap joint confidence bands for structural impulse response functions. Working paper series / Department of Economics 246, University of Zurich.

Abstract

Constructing joint confidence bands for structural impulse response functions based on a VAR model is a difficult task because of the non-linear nature of such functions. We propose new joint confidence bands that cover the entire true structural impulse response function up to a chosen maximum horizon with a prespecified probability (1 − α), at least asymptotically. Such bands are based on a certain bootstrap procedure from the multiple testing literature. We compare the finite-sample properties of our method with those of existing methods via extensive Monte Carlo simulations. We also investigate the effect of endogenizing the lag order in our bootstrap procedure on the finite-sample properties. Furthermore, an empirical application to a real data set is provided.

Abstract

Constructing joint confidence bands for structural impulse response functions based on a VAR model is a difficult task because of the non-linear nature of such functions. We propose new joint confidence bands that cover the entire true structural impulse response function up to a chosen maximum horizon with a prespecified probability (1 − α), at least asymptotically. Such bands are based on a certain bootstrap procedure from the multiple testing literature. We compare the finite-sample properties of our method with those of existing methods via extensive Monte Carlo simulations. We also investigate the effect of endogenizing the lag order in our bootstrap procedure on the finite-sample properties. Furthermore, an empirical application to a real data set is provided.

Statistics

Downloads

25 downloads since deposited on 22 Mar 2017
14 downloads since 12 months
Detailed statistics

Additional indexing

Item Type:Working Paper
Communities & Collections:03 Faculty of Economics > Department of Economics
Working Paper Series > Department of Economics
Dewey Decimal Classification:330 Economics
JEL Classification:C12, C32
Uncontrolled Keywords:Bootstrap, impulse response functions, joint confidence bands, vector autoregressive process
Language:English
Date:January 2018
Deposited On:22 Mar 2017 14:22
Last Modified:28 Jul 2018 05:38
Series Name:Working paper series / Department of Economics
Number of Pages:35
ISSN:1664-7041
Additional Information:Revised version ; Supplementary Material available
OA Status:Green
Official URL:http://www.econ.uzh.ch/static/wp/econwp246.pdf
Related URLs:http://www.econ.uzh.ch/static/workingpapers.php

Download

Content: Published Version
Filetype: PDF (Version March 2017) - Registered users only
Size: 657kB
Content: Updated Version
Filetype: PDF (Revised version September 2017) - Registered users only
Size: 474kB
Content: Supplemental Material
Filetype: PDF (Supplementary Material, September 2017) - Registered users only
Size: 257kB
Download PDF  'Balanced bootstrap joint confidence bands for structural impulse response functions'.
Preview
Content: Updated Version
Filetype: PDF (Revised version January 2018, including Supplementary Material)
Size: 734kB