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

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  • Benkwitz, Alexander
  • Lütkepohl, Helmut
  • Wolters, Jürgen

Abstract

It is argued that standard impulse response analysis based on vector autoregressive models has a number of shortcomings. Although the impulse responses are estimated quantities, measures for sampling variability such as confidence intervals sometimes are not provided. If confidence intervals are given, they often are based on bootstrap methods with dubious theoretical properties. These problems are illustrated using two German monetary systems. Proposals are made for improving current practice. Special emphasis is placed on systems with cointegrated variables.

Suggested Citation

  • Benkwitz, Alexander & Lütkepohl, Helmut & Wolters, Jürgen, 2001. "Comparison Of Bootstrap Confidence Intervals For Impulse Responses Of German Monetary Systems," Macroeconomic Dynamics, Cambridge University Press, vol. 5(1), pages 81-100, February.
    • Handle: RePEc:cup:macdyn:v:5:y:2001:i:01:p:81-100_01
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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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