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

Benkwitz, Alexander; Lütkepohl, Helmut; Wolters, Jürgen - 1999

often not provided. If confidence intervals are given they are often based on bootstrap methods with poor theoretical …. Special emphasis is placed on systems with cointegrated variables. -- monetary policy ; bootstrap ; impulse response ; money …

Persistent link: https://www.econbiz.de/10009580485

On the reliability of chow type test for parameter constancy in multivariate dynamic models

Candelon, Bertrand; Lütkepohl, Helmut - 2000

bootstrap versions of the tests have much better properties in this respect. In other words, the bootstrap can be used to size …-adjust the tests. -- vector autoregressive process ; vector error correction model ; bootstrap ; stability tests …

Persistent link: https://www.econbiz.de/10009612028

Bootstrapping impulse responses in VAR analyses

Lütkepohl, Helmut - 2000

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 … problems are presented. -- Impulse response ; bootstrap ; vector autoregression ; confidence interval …

Persistent link: https://www.econbiz.de/10009583428

Vector autoregressions

Lütkepohl, Helmut - 1999

Persistent link: https://www.econbiz.de/10009579182

A parametric approach to the estimation of cointegration vectors in panel data

Breitung, Jörg - 2002

In this paper a parametric framework for stimation and inference in cointegrated panel data models is considered that is based on a cointegrated VAR(p) model. A convenient two-step estimator is uggested where in the first step all individual specific parameters are estimated, whereas in the...

Persistent link: https://www.econbiz.de/10009620776

Local power of likelihood ratio tests for the cointegrating rank of a VAR process

Saikkonen, Pentti; Lütkepohl, Helmut - 1997

Likelihood ratio (LR) tests for the cointegrating rank of a vector autoregressive (VAR) process have been developed under different assumptions regarding deterministic terms. For instance, nonzero mean terms and linear trends have been accounted for in some of the tests. In this paper we provide...

Persistent link: https://www.econbiz.de/10009659070

Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model

Saikkonen, Pentti - 2001

This paper improves previous sufficient conditions for stationarity obtained in the context of a general nonlinear vector autoregressive model with nonlinear autoregressive conditional heteroskedasticity. The results are proved by using the stability theory developed for Markov chains....

Persistent link: https://www.econbiz.de/10009616775

Lag selection in subset VAR models with an application to a US monetary system

Brüggemann, Ralf; Lütkepohl, Helmut - 2000

Alternative modeling strategies for specifying subset VAR models are considered. It is shown that under certain conditions a testing procedure based on t-ratios is equivalent to sequentially eliminating lags that lead to the largest improvement in a prespecified model selection criterion. A...

Persistent link: https://www.econbiz.de/10009583885

Money and banks : some theory and empirical evidence for Germany

Holtemöller, Oliver - 2002

In a world with imperfect competition, market externalities or asymmetric information, the impact of money and monetary policy on the real sector depends on the way money is created. Two conflicting views of money supply can be distinguished in the literature: the endogeneity view and the...

Persistent link: https://www.econbiz.de/10009620766

Structural vector autoregressive models and monetary policy analysis

Holtemöller, Oliver - 2002

In this paper, the structural vector autoregressive (SVAR) model is used to analyze short-run and contemporaneous relationships between monetary aggregates and other macroeconomic variables. This requires imposing restrictions on the correlation structure of the VAR residuals. Different...

Persistent link: https://www.econbiz.de/10009620773