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Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >
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http://hdl.handle.net/10419/61726
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| Title: | | Comparison of bootstrap confidence intervals for impulse responses of German monetary systems  |
| Authors: | | Benkwitz, Alexander Lütkepohl, Helmut Wolters, Jürgen |
| Issue Date: | | 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: | | urn:nbn:de:kobv:11-10056284 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion Papers, SFB 373, HU Berlin
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