Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/152443
Authors: 
Coenen, Günter
Year of Publication: 
2000
Series/Report no.: 
ECB Working Paper 9
Abstract: 
This paper provides closed-form formulae for computing the asymptotic standard errors of the estimated autocovariance and autocorrelation functions for stable VAR models by means of the d-method. These standard errors can be used to construct asymptotic confidence bands for the estimated autocovariance and autocorrelation functions in order to assess the underlying estimation uncertainty. A Monte Carlo experiment gives evidence on the small-sample performance of these asymptotic confidence bands compared with that obtained using bootstrap methods. The usefulness of the asymptotic confidence bands for empirical work is illustrated by two applications to euro area data on inflation, output and interest rates.
Subjects: 
Vector autoregressions
autocovariances and autocorrelations
bootstrap method
confidence bands
euro area
Phillips curve
yield curve
JEL: 
C13
C32
E31
E43
Document Type: 
Working Paper

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