Problems related to confidence intervals for impulse responses of autoregressive processes

Alexander Benkwitz, Michael Neumann and Helmut Lutekpohl

Econometric Reviews, 2000, vol. 19, issue 1, 69-103

Abstract: Confidence intervals for impulse responses computed from autoregressive processes are considered. A detailed analysis of the methods in current use shows that they are not very reliable in some cases. In particular, there are theoretical reasons for them to have actual coverage probabilities which deviate considerably from the nominal level in some situations of practical importance. For a simple case alternative bootstrap methods are proposed which provide correct results asymptotically.

Keywords: impulse response; bootstrap; autoregressive process; asymptotic inference; nonparametric inference (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (31)

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DOI: 10.1080/07474930008800460

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