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

Günter Coenen

No 9, Working Paper Series from European Central Bank

Abstract: This paper provides closed-form formulae for computing the asymptotic standard errors of the estimated autocovariance and autocorrelation functions for stable VAR models by means of the d-method. These standard errors can be used to construct asymptotic confidence bands for the estimated autocovariance and autocorrelation functions in order to assess the underlying estimation uncertainty. A Monte Carlo experiment gives evidence on the small-sample performance of these asymptotic confidence bands compared with that obtained using bootstrap methods. The usefulness of the asymptotic confidence bands for empirical work is illustrated by two applications to euro area data on inflation, output and interest rates. JEL Classification: C13, C32, E31, E43

Keywords: autocovariances and autocorrelations; bootstrap method; confidence bands; euro area; Phillips curve; vector autoregressions; yield curve (search for similar items in EconPapers)
Date: 2000-01
Note: 241047
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Citations: View citations in EconPapers (14)

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Related works:
Journal Article: Asymptotic confidence bands for the estimated autocovariance and autocorrelation functions of vector autoregressive models (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20009

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