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Comparison Of Bootstrap Confidence Intervals For Impulse Responses Of German Monetary Systems

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Author Info
Benkwitz, Alexander
L tkepohl, Helmut
Wolters, J rgen

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Abstract

It is argued that standard impulse response analysis based on vector autoregressive models has a number ofshortcomings. Although the impulse responses are estimatedquantities, measures for sampling variability such asconfidence intervals sometimes are not provided. Ifconfidence intervals are given, they often are based onbootstrap methods with dubious theoretical properties. Theseproblems are illustrated using two German monetary systems. Proposals are made for improving current practice. Specialemphasis is placed on systems with cointegratedvariables.

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Publisher Info
Article provided by Cambridge University Press in its journal Macroeconomic Dynamics.

Volume (Year): 5 (2001)
Issue (Month): 01 (February)
Pages: 81-100
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Handle: RePEc:cup:macdyn:v:5:y:2001:i:01:p:81-100_01

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Lutz Kilian, 1998. "Small-Sample Confidence Intervals For Impulse Response Functions," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 218-230, May. [Downloadable!] (restricted)
  2. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January. [Downloadable!] (restricted)
  3. Lutkepohl, Helmut, 1990. "Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models," The Review of Economics and Statistics, MIT Press, vol. 72(1), pages 116-25, February. [Downloadable!] (restricted)
  4. JØrgen Wolters & Helmut LØtkepohl, 1998. "A money demand system for German M3," Empirical Economics, Springer, vol. 23(3), pages 371-386. [Downloadable!] (restricted)
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This page was last updated on 2009-10-31.

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