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 pre‐specified 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 dataset is provided.
Item Type: | Journal Article, refereed, original work |
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Communities & Collections: | 03 Faculty of Economics > Department of Economics |
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Dewey Decimal Classification: | 330 Economics |
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Scopus Subject Areas: | Physical Sciences > Statistics and Probability
Social Sciences & Humanities > Statistics, Probability and Uncertainty
Physical Sciences > Applied Mathematics |
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Uncontrolled Keywords: | Statistics, probability and uncertainty, statistics and probability, applied mathematics, bootstrap, impulse response functions, joint confidence bands, vector autoregressive process |
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Scope: | Discipline-based scholarship (basic research) |
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Language: | English |
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Date: | September 2018 |
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Deposited On: | 15 Jan 2019 10:47 |
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Last Modified: | 20 Oct 2024 01:38 |
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Publisher: | Wiley-Blackwell Publishing, Inc. |
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ISSN: | 0143-9782 |
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OA Status: | Green |
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Publisher DOI: | https://doi.org/10.1111/jtsa.12289 |
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Official URL: | https://onlinelibrary.wiley.com/doi/10.1111/jtsa.12289 |
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Other Identification Number: | merlin-id:17295 |
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