Comparison of bootstrap confidence intervals for impulse responses of German monetary systems

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: SFB 373 Discussion Paper ; No. 1999,29

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Subject: monetary policy ; bootstrap ; impulse response ; money demand system

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Benkwitz, Alexander ; Lütkepohl, Helmut ; Wolters, Jürgen
• Event: Veröffentlichung
• (who): Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
• (where): Berlin
• (when): 1999

Further information

• Handle: http://hdl.handle.net/10419/61726
• URN: urn:nbn:de:kobv:11-10056284
• Last update: 10.03.2025, 11:44 AM CET