Description

• Title:
  Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions
• Creator:
  Grabowski, Daniel;
  Staszewska-Bystrova, Anna;
  Winker, Peter
• Contributor:
  Department Of Economics,University Of Giessen;
  Faculty of Economics and Sociology, University of Lodz
• Description:
  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 Skewness Adjustment Are Investigated. The Methods Are Based On A Bootstrap Algorithm That Adjusts Mean And Skewness Of The Bootstrap Distribution Of The Autoregressive Coefficients Before The Impulse Response Functions Are Computed. Using Extensive Monte Carlo Simulations, The Methods Are Shown To Improve The Coverage Accuracy In Small And Medium Sized Samples And For Unit Root Processes For Both Known And Unknown Lag Orders.
• Object availability:
  free access
• Date:
  2018.03.13;
  2018.03.08
• Type:
  Working Paper
• Format:
  application/pdf
• Publisher:
  Faculty of Economics and Sociology
• Relation:
  Lodz Economics Working Papers;1;
• Subject:
  Bootstrap;
  confidence intervals;
  joint confidence bands;
  vector autoregression
• Identifier: http://hdl.handle.net/11089/24232
• Data provider:
  Repozytorium Uniwersytetu Łódzkiego
• Can I use it?:
  seek permission
• Type:
  text