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 Centre for Economic Policy Research

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
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Citations: View citations in EconPapers (17)

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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)
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