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Autoren: 
Benkwitz, Alexander
Lütkepohl, Helmut
Wolters, Jürgen
Datum: 
1999
Schriftenreihe/Nr.: 
SFB 373 Discussion Paper No. 1999,29
Zusammenfassung: 
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.
Schlagwörter: 
monetary policy
bootstrap
impulse response
money demand system
JEL: 
C32
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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