COMPARISON OF BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES OF GERMAN MONETARY SYSTEMS

Alexander Benkwitz · Helmut Lütkepohl · Jürgen Wolters

119 citations0/0 files storedMacroeconomic Dynamics

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Monetary Policy and Economic Impact Forecasting Techniques and Applications Economic theories and models

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 sometimes are not provided. If confidence intervals are given, they often are based on bootstrap methods with dubious 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.

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1980Macroeconomics and Reality 1998Generalized impulse response analysis in linear multivariate models 1993Introduction to Multiple Time Series Analysis 1992Interpreting the macroeconomic time series facts 1998Small-sample Confidence Intervals for Impulse Response Functions 1992‘Interpreting the macroeconomic time series facts: The effects of monetary policy’1993Vector autoregressions and cointegration 1990Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models

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