Problems related to bootstrapping impulse responses of autoregressive processes
Bootstrap confidence intervals for impulse responses computed from autoregressive processes are considered. A detailed analysis of the methods in current use shows that they are not very reliable in some cases. In particular, there are theoretical reasons for them to have actual coverage probabilities which deviate considerably from the nominal level in some situations of practical importance. For a simple case alternative bootstrap methods are proposed which provide correct results asymptotically.
Year of publication: |
1997
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Authors: | Benkwitz, Alexander ; Lütkepohl, Helmut ; Neumann, Michael H. |
Publisher: |
Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |
Saved in:
freely available
Series: | SFB 373 Discussion Paper ; 1997,85 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 729601927 [GVK] hdl:10419/66258 [Handle] RePEc:zbw:sfb373:199785 [RePEc] |
Source: |
Persistent link: https://www.econbiz.de/10010310776
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