Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems

Alexander Benkwitz, Helmut Lütkepohl and Juergen Wolters

No 2208, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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 are often not provided. If confidence intervals are given they are often based on bootstrap methods with poor 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.

Keywords: Bootstrap; Impulse Response; Monetary Policy; Money Demand System (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 1999-08
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

Downloads: (external link)
http://www.cepr.org/active/publications/discussion_papers/dp.php?dpno=2208 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
Journal Article: COMPARISON OF BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES OF GERMAN MONETARY SYSTEMS (2001)
Working Paper: Comparison of bootstrap confidence intervals for impulse responses of German monetary systems (1999)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:2208

Ordering information: This working paper can be ordered from
http://www.cepr.org/ ... ers/dp.php?dpno=2208

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().