Constructing joint confidence bands for impulse response functions of VAR models – A review

Author:

Lütkepohl Helmut,Staszewska-Bystrova Anna,Winker PeterORCID

Funder

National Science Center

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference50 articles.

1. A comparison of confidence intervals generated by the Scheffé and Bonferroni methods;Alt;Commun. Stat. – Theory Methods,1977

2. Asymptotic results for generalized Wald tests;Andrews;Econom. Theory,1987

3. Measuring monetary policy with VAR models: an evaluation;Bagliano;Eur. Econ. Rev.,1998

4. Problems related to bootstrapping impulse responses of autoregressive processes;Benkwitz;Econom. Rev.,2000

5. Comparing several methods to compute joint prediction regions for path forecasts generated by vector autoregressions;Bruder,2014

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