Arbeitspapier
Problems related to bootstrapping impulse responses of autoregressive processes
Bootstrap confidence intervals for impulse responses computed from autoregressive processes are considered. A detailed analysis of the methods in current use shows that they are not very reliable in some cases. In particular, there are theoretical reasons for them to have actual coverage probabilities which deviate considerably from the nominal level in some situations of practical importance. For a simple case alternative bootstrap methods are proposed which provide correct results asymptotically.
- Language
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Englisch
- Bibliographic citation
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Series: SFB 373 Discussion Paper ; No. 1997,85
- Classification
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Wirtschaft
- Event
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Geistige Schöpfung
- (who)
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Benkwitz, Alexander
Lütkepohl, Helmut
Neumann, Michael H.
- Event
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Veröffentlichung
- (who)
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Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (where)
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Berlin
- (when)
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1997
- Handle
- URN
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urn:nbn:de:kobv:11-10064641
- Last update
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10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Benkwitz, Alexander
- Lütkepohl, Helmut
- Neumann, Michael H.
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Time of origin
- 1997
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