Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/62269
Autor:innen: 
Lütkepohl, Helmut
Datum: 
2000
Schriftenreihe/Nr.: 
SFB 373 Discussion Paper No. 2000,22
Verlag: 
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, Berlin
Zusammenfassung: 
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.
Schlagwörter: 
Impulse response
bootstrap
vector autoregression
confidence interval
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
154.94 kB





Publikationen in EconStor sind urheberrechtlich geschützt.