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

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 9

Classification and Topics

• Classification: Wirtschaft ; Estimation: General ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Price Level; Inflation; Deflation ; Interest Rates: Determination, Term Structure, and Effects
• Subject: Vector autoregressions ; autocovariances and autocorrelations ; bootstrap method ; confidence bands ; euro area ; Phillips curve ; yield curve

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Coenen, Günter
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2000

Further information

• Handle: http://hdl.handle.net/10419/152443
• Last update: 10.03.2025, 11:45 AM CET