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Asymptotic confidence bands for the estimated autocovariance and autocorrelation functions of vector autoregressive models

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  • Günter Coenen

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Abstract

This paper provides closed-form formulae for computing the asymptotic covariance matrices of the estimated autocovariance and autocorrelation functions of stable VAR models by means of the delta method. These covariance matrices can be used to construct asymptotic confidence bands for the estimated autocovariance and autocorrelation functions to assess the underlying estimation uncertainty. The usefulness of the formulae for empirical work is illustrated by an application to inflation and output gap data for the U.S. economy indicating the existence of a significant short-run Phillips-curve tradeoff. Copyright Springer-Verlag 2005

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Bibliographic Info

Article provided by Springer in its journal Empirical Economics.

Volume (Year): 30 (2005)
Issue (Month): 1 (January)
Pages: 65-75

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Handle: RePEc:spr:empeco:v:30:y:2005:i:1:p:65-75

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Keywords: Vector autoregressive models; autocovariance and autocorrelation functions; confidence bands; delta method; phillips curve; C13; C32; E31;

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References

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  1. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May.
  2. Ben S. Bernanke & Ilian Mihov, 1995. "Measuring Monetary Policy," NBER Working Papers 5145, National Bureau of Economic Research, Inc.
  3. Gunter Coenen & Volker Wieland, 2000. "A Small Estimated Euro-Area Model with Rational Expectations and Nominal Rigidities," Econometric Society World Congress 2000 Contributed Papers 1284, Econometric Society.
  4. Davidson, Russell & MacKinnon, James G, 1998. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," The Manchester School of Economic & Social Studies, University of Manchester, vol. 66(1), pages 1-26, January.
  5. Bennett T. McCallum, 1999. "Analysis of the Monetary Transmission Mechanism: Methodological Issues," NBER Working Papers 7395, National Bureau of Economic Research, Inc.
  6. Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 1998. "Monetary Policy Shocks: What Have We Learned and to What End?," NBER Working Papers 6400, National Bureau of Economic Research, Inc.
  7. Dufour, Jean-Marie & Roy, Roch, 1985. "Some robust exact results on sample autocorrelations and tests of randomness," Journal of Econometrics, Elsevier, vol. 29(3), pages 257-273, September.
  8. 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.
  9. Fagan, Gabriel & Henry, Jerome & Mestre, Ricardo, 2005. "An area-wide model for the euro area," Economic Modelling, Elsevier, vol. 22(1), pages 39-59, January.
  10. Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
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Citations

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Cited by:
  1. Günter Coenen & Volker Wieland, 2002. "Inflation Dynamics and International Linkages: A Model of the United States, the Euro Area and Japan," Computing in Economics and Finance 2002 240, Society for Computational Economics.
  2. Coenen Günter & Orphanides Athanasios & Wieland Volker, 2004. "Price Stability and Monetary Policy Effectiveness when Nominal Interest Rates are Bounded at Zero," The B.E. Journal of Macroeconomics, De Gruyter, vol. 4(1), pages 1-25, February.
  3. Andrew Levin & Günter Coenen, 2005. "Identifying the Influences of Nominal and Real Rigidities in Aggregate Price-Setting Behavior," Computing in Economics and Finance 2005 66, Society for Computational Economics.
  4. Coenen, Günter & Wieland, Volker, 2002. "A Small Estimated Euro Area Model with Rational Expectations and Nominal Rigidities," CEPR Discussion Papers 3574, C.E.P.R. Discussion Papers.
  5. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian model: A formal test of backward- and forward-looking behavior," Economics Working Papers 2012-07, Christian-Albrechts-University of Kiel, Department of Economics.
  6. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian Model: a formal test of backward- and forward-looking expectations," MPRA Paper 39669, University Library of Munich, Germany.
  7. Gunter Coenen & Volker Wieland, 2000. "A Simple Estimated Euro Area Model With Rational Expectations And Nominal Rigidities," Computing in Economics and Finance 2000 187, Society for Computational Economics.
  8. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian Model: a formal test of backward- and forward-looking expectations," MPRA Paper 40278, University Library of Munich, Germany.

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