Balanced Bootstrap Joint Confidence Bands for Structural Impulse Response Functions
针对VAR模型结构脉冲响应函数难以构建联合置信带的问题，提出一种基于多重检验中自助程序的平衡自助联合置信带，能渐近覆盖整个真实函数，并通过蒙特卡洛模拟和实证数据验证其有限样本性质。
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 pre‐specified 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 dataset is provided.