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

Günter Coenen

Empirical Economics, 2005, vol. 30, issue 1, 65-75

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

Keywords: Vector autoregressive models; autocovariance and autocorrelation functions; confidence bands; delta method; phillips curve; C13; C32; E31 (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (7)

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Working Paper: Asymptotic confidence bands for the estimated autocovariance and autocorrelation functions of vector autoregressive models (2000)
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DOI: 10.1007/s00181-004-0214-8

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