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

DOI10.1017/S1365100501018041zbMath1006.91514OpenAlexW2095349474MaRDI QIDQ2739291

Jürgen Wolters, Alexander Benkwitz, Helmut Lütkepohl

Publication date: 2 April 2002

Published in: Macroeconomic Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s1365100501018041

zbMATH Keywords

impulse responsemonetary policybootstrap methodsmoney demand system

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Statistical methods; economic indices and measures (91B82)

Related Items (6)

Structural vector autoregressive analysis for cointegrated variables ⋮ Reducing confidence bands for simulated impulse responses ⋮ Wild bootstrap tests for autocorrelation in vector autoregressive models ⋮ Inference in VARs with conditional heteroskedasticity of unknown form ⋮ Bootstrapping impulse responses in VAR analyses ⋮ Representing uncertainty about response paths: the use of heuristic optimisation methods

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