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Contribution Details

Type Working Paper
Scope Discipline-based scholarship
Title Balanced bootstrap joint confidence bands for structural impulse response functions
Organization Unit
  • Stefan Bruder
  • Michael Wolf
  • English
Institution University of Zurich
Series Name Working paper series / Department of Economics
Number 246
ISSN 1664-7041
Number of Pages 35
Date 2018
Abstract Text 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.
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Keywords Bootstrap, impulse response functions, joint confidence bands, vector autoregressive process, Bootstrap-Statistik, Bereichsschätzung, Impulsantwort, Vektor-autoregressives Modell, Monte-Carlo-Simulation
Additional Information Revised version ; Supplementary Material available