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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. Journal of Time Series Analysis, 39(5):641-664.

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.

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.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Economics
Dewey Decimal Classification:330 Economics
Uncontrolled Keywords:Statistics, probability and uncertainty, statistics and probability, applied mathematics, bootstrap, impulse response functions, joint confidence bands, vector autoregressive process
Language:English
Date:September 2018
Deposited On:15 Jan 2019 10:47
Last Modified:15 Jan 2019 10:48
Publisher:Wiley-Blackwell Publishing, Inc.
ISSN:0143-9782
OA Status:Green
Publisher DOI:https://doi.org/10.1111/jtsa.12289
Official URL:https://onlinelibrary.wiley.com/doi/10.1111/jtsa.12289

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