Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62269
Authors: 
Lütkepohl, Helmut
Year of Publication: 
2000
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2000,22
Abstract: 
Because the parameters of vector autoregressive processes are often difficult to interpret directly, econometricians use quantities derived from the parameters to disentangle the relationships between the variables. Bootstrap methods are often used for inference on the derived quantities. Alternative bootstrap methods for this purpose are discussed, some related problems are pointed out and proposals are presented to overcome the difficulties at least partly. Some remaining problems are presented.
Subjects: 
Impulse response
bootstrap
vector autoregression
confidence interval
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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