error bands
Posted: Fri Oct 09, 2009 6:00 am
Hi all,
I have a question with regard to drawing the error bands of impulse responses. After estimation by ordinary least square, many papers used monte carlo simulation with several hundred replications to draw the 1 standard deviation error bands. I would like to ask whether there is any conceptual advantage or problem to draw 16-84 percentiles error bands instead. is the possibility of capturing asymmetric response one advantage?
Many thanks.
MC
I have a question with regard to drawing the error bands of impulse responses. After estimation by ordinary least square, many papers used monte carlo simulation with several hundred replications to draw the 1 standard deviation error bands. I would like to ask whether there is any conceptual advantage or problem to draw 16-84 percentiles error bands instead. is the possibility of capturing asymmetric response one advantage?
Many thanks.
MC