Comparison of bootstrap confidence intervals for impulse responses of German monetary systems

DOI10.1017/S1365100501018041MaRDI QIDQ2739291zbMATH OpenOpenAlexFDO

Authors Alexander Benkwitz, Jürgen Wolters, 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

bootstrap methodsimpulse responsemonetary policymoney 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)

Recommendations

• Problems related to confidence intervals for impulse responses of autoregressive processes
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Cited in

(10)

• Representing uncertainty about response paths: the use of heuristic optimisation methods
• How accurate are confidence intervals for impulse responses in large VAR models?
• Wild bootstrap tests for autocorrelation in vector autoregressive models
• Joint confidence sets for structural impulse responses
• Bootstrapping impulse responses in VAR analyses
• Reducing confidence bands for simulated impulse responses
• Confidence intervals for impulse responses under departures from normality
• Problems related to confidence intervals for impulse responses of autoregressive processes
• Structural vector autoregressive analysis for cointegrated variables
• Inference in VARs with conditional heteroskedasticity of unknown form

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