COMPARISON OF BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES OF GERMAN MONETARY SYSTEMS

Alexander Benkwitz, Helmut Lütkepohl and Juergen Wolters

Macroeconomic Dynamics, 2001, vol. 5, issue 1, 81-100

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.

Date: 2001
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Related works:
Working Paper: Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems (1999)
Working Paper: Comparison of bootstrap confidence intervals for impulse responses of German monetary systems (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:cup:macdyn:v:5:y:2001:i:01:p:81-100_01

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