Confidence Bands for Impulse Responses: Bonferroni vs. Wald
研究比较了脉冲响应分析中两种构建置信带的方法：基于Wald统计量的方法通常过于保守，而Bonferroni方法能获得更窄的置信带，对从事时间序列分析的经济学者有参考价值。
Abstract In impulse response analysis estimation uncertainty is typically displayed by constructing bands around estimated impulse response functions. If they are based on the joint asymptotic distribution possibly constructed with bootstrap methods in a frequentist framework, often individual confidence intervals are simply connected to obtain the bands. Such bands are known to be too narrow and have a joint coverage probability lower than the desired one. If instead the Wald statistic is used and the joint bootstrap distribution of the impulse response coefficient estimators is taken into account and mapped into the band, it is shown that such a band is typically rather conservative. It is argued that, by using the Bonferroni method, a band can often be obtained which is smaller than the Wald band.