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COMPARISON OF BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES OFGERMAN MONETARY SYSTEMS

Published online by Cambridge University Press:  02 March 2001

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

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.

Type
Research Article
Copyright
© 2001 Cambridge University Press

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