Finite Sample Properties of Impulse Response Intervals in SVECMs with Long-Run Identifying Restrictions
This paper investigates the finite sample properties of confidence intervals for structural vector error correction models (SVECMs) with long-run identifying restrictions on the impulse response functions. The simulation study compares methods that are frequently used in applied SVECM studies including an interval based on the asymptotic distribution of impulse responses, a standard percentile (Efron) bootstrap interval, Hall’s percentile and Hall’s studentized bootstrap interval. Data generating processes are based on empirical SVECM studies and evaluation criteria include the empirical coverage, the average length and the sign implied by the interval. Our Monte Carlo evidence suggests that applied researchers have little to choose between the asymptotic and the Hall bootstrap intervals in SVECMs. In contrast, the Efron bootstrap interval may be less suitable for applied work as it is less informative about the sign of the underlying impulse response function and the computationally demanding studentized Hall interval is often outperformed by the other methods. Differences between methods are illustrated empirically by using a data set from King, Plosser, Stock & Watson (1991).
|Date of creation:||Mar 2006|
|Date of revision:|
|Contact details of provider:|| Postal: Spandauer Str. 1,10178 Berlin|
Web page: http://sfb649.wiwi.hu-berlin.de
More information through EDIRC
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.:
- Benkwitz, Alexander & Lütkepohl, Helmut & Wolters, Jürgen, 1999.
"Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems,"
CEPR Discussion Papers
2208, C.E.P.R. Discussion Papers.
- Benkwitz, Alexander & L tkepohl, Helmut & Wolters, J rgen, 2001. "Comparison Of Bootstrap Confidence Intervals For Impulse Responses Of German Monetary Systems," Macroeconomic Dynamics, Cambridge University Press, vol. 5(01), pages 81-100, February.
- Benkwitz, Alexander & Lütkepohl, Helmut & Wolters, Jürgen, 1999. "Comparison of bootstrap confidence intervals for impulse responses of German monetary systems," SFB 373 Discussion Papers 1999,29, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Diebold, F.X. & Kilian, L. & Nerlove, Marc, 2006.
"Time Series Analysis,"
28556, University of Maryland, Department of Agricultural and Resource Economics.
- Lutz Kilian, 1998. "Confidence intervals for impulse responses under departures from normality," Econometric Reviews, Taylor & Francis Journals, vol. 17(1), pages 1-29.
- Kyungho Jang & Masao Ogaki, 2001.
"The Effects of Monetary Policy Shocks on Exchange Rates: A Structural Vector Error Correction Model Approach,"
01-02, Ohio State University, Department of Economics.
- Jang, Kyungho & Ogaki, Masao, 2004. "The effects of monetary policy shocks on exchange rates: A structural vector error correction model approach," Journal of the Japanese and International Economies, Elsevier, vol. 18(1), pages 99-114, March.
- repec:cup:macdyn:v:5:y:2001:i:1:p:81-100 is not listed on IDEAS
- Antonio Ribba, 2003. "Short-run and long-run interaction between inflation and unemployment in the USA," Applied Economics Letters, Taylor & Francis Journals, vol. 10(6), pages 373-376.
- S. Levtchenkova & A. R. Pagan & J. C. Robertson, 1998.
Journal of Economic Surveys,
Wiley Blackwell, vol. 12(5), pages 507-532, December.
- Lutkepohl, Helmut & Reimers, Hans-Eggert, 1992. "Impulse response analysis of cointegrated systems," Journal of Economic Dynamics and Control, Elsevier, vol. 16(1), pages 53-78, January.
- Fisher, L. & Fackler, P. & Orden, D., 1992.
"Long-Run Identifying Restrictions for an Error-Correction Model of New Zealand Money, Prices and Output,"
92-27, New South Wales - School of Economics.
- Fisher, Lance A. & Fackler, Paul L. & Orden, David, 1995. "Long-run identifying restrictions for an error-correction model of New Zealand money, prices and output," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 127-147, February.
- Kilian, Lutz & Chang, Pao-Li, 2000. "How accurate are confidence intervals for impulse responses in large VAR models?," Economics Letters, Elsevier, vol. 69(3), pages 299-307, December.
- Kilian, Lutz, 2001. "Impulse Response Analysis in Vector Autoregressions with Unknown Lag Order," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(3), pages 161-79, April.
- 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.
- Christopher A. Sims & Tao Zha, 1999.
"Error Bands for Impulse Responses,"
Econometric Society, vol. 67(5), pages 1113-1156, September.
- Christopher A. Sims & Tao Zha, 1995. "Error bands for impulse responses," FRB Atlanta Working Paper 95-6, Federal Reserve Bank of Atlanta.
- Christopher A. Sims & Tao Zha, 1994. "Error Bands for Impulse Responses," Cowles Foundation Discussion Papers 1085, Cowles Foundation for Research in Economics, Yale University.
- Tom Doan, . "RATS programs to replicate Sims and Zha(1999) "Error Bands for Impulse Responses"," Statistical Software Components RTZ00145, Boston College Department of Economics.
- Mellander, Erik & Vredin, A & Warne, A, 1992. "Stochastic Trends and Economic Fluctuations in a Small Open Economy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(4), pages 369-94, Oct.-Dec..
- repec:cup:macdyn:v:7:y:2003:i:5:p:711-33 is not listed on IDEAS
- Phillips, Peter C. B., 1998.
"Impulse response and forecast error variance asymptotics in nonstationary VARs,"
Journal of Econometrics,
Elsevier, vol. 83(1-2), pages 21-56.
- Peter C.B. Phillips, 1995. "Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's," Cowles Foundation Discussion Papers 1102, Cowles Foundation for Research in Economics, Yale University.
- L Tkepohl, Helmut & Wolters, J Rgen, 2003. "Transmission Of German Monetary Policy In The Pre-Euro Period," Macroeconomic Dynamics, Cambridge University Press, vol. 7(05), pages 711-733, November.
- Gonzalo, Jesus & Ng, Serena, 2001.
"A systematic framework for analyzing the dynamic effects of permanent and transitory shocks,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 25(10), pages 1527-1546, October.
- Gonzalo, Jesús & Ng, Serena, 1996. "A systematic framework for analyzing the dynamic effects of permanent and transitory shocks," DES - Working Papers. Statistics and Econometrics. WS 6203, Universidad Carlos III de Madrid. Departamento de Estadística.
- Gonzalo, J. & Ng, S., 1996. "A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks," Cahiers de recherche 9603, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Gonzalo, J. & Ng, S., 1996. "A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks," Cahiers de recherche 9603, Universite de Montreal, Departement de sciences economiques.
- G. Coenen & J.-L. Vega, 2001.
"The demand for M3 in the euro area,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 16(6), pages 727-748.
- Coenen, Günter & Vega, Juan Luis, 1999. "The demand for M3 in the euro area," Working Paper Series 0006, European Central Bank.
- Gunter Coenen & Juan Luis Vega, 2000. "The Demand for M3 in the Euro Area," Econometric Society World Congress 2000 Contributed Papers 0976, Econometric Society.
- Bénédicte Vidaillet & V. D'Estaintot & P. Abécassis, 2005. "Introduction," Post-Print hal-00287137, HAL.
- P.J.G. Vlaar, 2002.
"Shocking the Eurozone,"
WO Research Memoranda (discontinued)
696, Netherlands Central Bank, Research Department.
- Fisher, Lance A. & Huh, Hyeon-seung & Tallman, Ellis W., 2003. "Permanent income and transitory variation in investment and output," Journal of Macroeconomics, Elsevier, vol. 25(2), pages 149-168, June.
- Ribba, Antonio, 2003. "Permanent-transitory decompositions and traditional measures of core inflation," Economics Letters, Elsevier, vol. 81(1), pages 109-116, October.
When requesting a correction, please mention this item's handle: RePEc:hum:wpaper:sfb649dp2006-021. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (RDC-Team)
If references are entirely missing, you can add them using this form.