Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/61726
Authors: 
Benkwitz, Alexander
Lütkepohl, Helmut
Wolters, Jürgen
Year of Publication: 
1999
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1999,29
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 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.
Subjects: 
monetary policy
bootstrap
impulse response
money demand system
JEL: 
C32
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
715.34 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.