Representing uncertainty about response paths: The use of heuristic optimisation methods

One of the standard procedures in impulse response analysis is the construction of confidence intervals for the response at a particular time. The less familiar issue of constructing confidence bands for the path of responses is considered. The feasibility of using heuristic optimisation methods for constructing bootstrap confidence bands is investigated. The coverage properties of bands constructed in this way are evaluated for a stylised empirical vector error correction model.