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Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions
(Faculty of Economics and Sociology, 2018-03-08)
This Article Investigates The Construction Of Skewness-Adjusted Confidence Intervals And Joint Confidence Bands For Impulse Response Functions From Vector Autoregressive Models. Three Different Implementations Of The ...
Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review
Methods for constructing joint confidence bands for impulse response functions which are commonly used in vector autoregressive analysis are reviewed. While considering separate intervals for each horizon individually ...