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Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions
Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
In vector autoregressive analysis confidence intervals for individual impulse responses are typically reported to indicate the sampling uncertainty in the estimation results. A range of methods are reviewed and a new proposal is made for constructing joint confidence bands, given a prespecifed...
Persistent link: https://www.econbiz.de/10010662713
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Reducing confidence bands for simulated impulse responses
Lütkepohl, Helmut - In: Statistical Papers 54 (2013) 4, pp. 1131-1145
as Bayesian or bootstrap methods are used. The confidence intervals heavily depend on which variable is used for fixing …
Persistent link: https://www.econbiz.de/10010998636
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Testing the value of directional forecasts in the presence of serial correlation
Blaskowitz, Oliver; Herwartz, Helmut - In: International Journal of Forecasting 30 (2014) 1, pp. 30-42
in a simulation study. We therefore summarize robust test procedures for serial correlation and propose a bootstrap …
Persistent link: https://www.econbiz.de/10011051468
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Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions
Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
In vector autoregressive analysis confidence intervals for individual impulse responses are typically reported to indicate the sampling uncertainty in the estimation results. A range of methods are reviewed and a new proposal is made for constructing joint confidence bands, given a prespecified...
Persistent link: https://www.econbiz.de/10011128854
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Reducing Confidence Bands for Simulated Impulse Responses
Lütkepohl, Helmut - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012
as Bayesian or bootstrap methods are used. The confidence intervals heavily depend on which variable is used for fixing …
Persistent link: https://www.econbiz.de/10011128870
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A comparison of bootstrap and Monte-Carlo testing approaches to value-at-risk diagnosis
Herwartz, Helmut; Waichman, Israel - In: Computational Statistics 25 (2010) 4, pp. 725-732
Persistent link: https://www.econbiz.de/10008775807
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Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions
Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - Volkswirtschaft Abteilung, Fachbereich … - 2013
In vector autoregressive analysis confidence intervals for individual impulse responses are typically reported to indicate the sampling uncertainty in the estimation results. A range of methods are reviewed and a new proposal is made for constructing joint confidence bands, given a pre-specified...
Persistent link: https://www.econbiz.de/10010636815
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Testing for vector autoregressive dynamics under heteroskedasticity
Hafner, Christian M.; Herwartz, Helmut - Sonderforschungsbereich 373, Quantifikation und … - 2002
In this paper we introduce a bootstrap procedure to test parameter restrictions in vector autoregressive models which … is robust in cases of conditionally heteroskedastic error terms. The adopted wild bootstrap method does not require any … Monte Carlo investigation empirical size and power properties of the new method are illustrated. We compare the bootstrap …
Persistent link: https://www.econbiz.de/10010956345
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Testing for linear autoregressive dynamics under heteroskedasticity
Hafner, Christian M.; Herwartz, Helmut - Sonderforschungsbereich 373, Quantifikation und … - 1998
One puzzling behavior of asset returns for various frequencies is the often observed positive autocorrelation at lag 1. To some extent this can be explained by standard asset pricing models when assuming time varying risk premia. However, one often finds better results when directly fitting an...
Persistent link: https://www.econbiz.de/10010956379
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Bootstrap inference in single equation error correction models
Herwartz, Helmut; Neumann, Michael H. - Sonderforschungsbereich 373, Quantifikation und … - 2000
conditional heteroskedasticity. We show that the wild bootstrap provides convenient critical values for the considered OLS …-based statistics under both homoskedastic and conditionally heteroskedastic model errors. The wild bootstrap is easy to implement and … approximations. We prove further that the wild bootstrap retains its validity for inference within a system of pooled equations …
Persistent link: https://www.econbiz.de/10010956432