Hostname: page-component-cd9895bd7-hc48f Total loading time: 0 Render date: 2024-12-18T22:16:38.263Z Has data issue: false hasContentIssue false
  • English
  • Français

COMPARISON OF BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES OFGERMAN MONETARY SYSTEMS

Published online by Cambridge University Press:  02 March 2001

Alexander Benkwitz ,
Helmut Lütkepohl  and
Jürgen Wolters
Alexander Benkwitz
Affiliation:
Humboldt-Universität Zu Berlin, Institut für Statistik und Ökonometrie
Helmut Lütkepohl
Affiliation:
Humboldt-Universität Zu Berlin, Institut für Statistik und Ökonometrie
Jürgen Wolters
Affiliation:
Freie Universität Berlin, Institut für Statistik und Ökonometrie
Get access Rights & Permissions [Opens in a new window]

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 sometimes are not provided. If confidence intervals are given, they often are based on bootstrap methods with dubious 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

Impulse ResponseBootstrap MethodsMoney Demand SystemMonetary Policy
Type
Research Article
Information
Macroeconomic Dynamics , Volume 5 , Issue 1 , February 2001 , pp. 81 - 100
Copyright
© 2001 Cambridge University Press

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)