Simultaneous confidence bands: Theory, implementation, and an application to SVARs
同时置信带：理论、实现及结构 VAR 应用
Summary Simultaneous confidence bands are versatile tools for visualizing estimation uncertainty for parameter vectors, such as impulse response functions. In linear models, it is known that that the sup‐t confidence band is narrower than commonly used alternatives—for example, Bonferroni and projection bands. We show that the same ranking applies asymptotically even in general nonlinear models, such as vector autoregressions (VARs). Moreover, we provide further…