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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

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

Benkwitz, Alexander; Lütkepohl, Helmut; Neumann, Michael H. - 1997

Bootstrap confidence intervals for impulse responses computed from autoregressive processes are considered. A detailed … situations of practical importance. For a simple case alternative bootstrap methods are proposed which provide correct results …

Persistent link: https://www.econbiz.de/10009660382

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

Vector autoregressions

Lütkepohl, Helmut - 1999

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

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

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

The transmission of German monetary policy in the pre-Euro period

Lütkepohl, Helmut; Wolters, Jürgen - 2001

A small macroeconomic model is constructed to study the transmission of the monetary policy conducted by the Deutsche Bundesbank (DBB) since the middle of the 1970s. For this purpose quarterly, seasonally unadjusted data for the period from 1975 to 1998 are used, that is, the period until the...

Persistent link: https://www.econbiz.de/10009616780

Did the Fed surprise the markets in 2001? : a case study for VARs with sign restrictions

Uhlig, Harald - 2001

In 2001, the Fed has lowered interest rates in a series of cuts, starting from 6.5 % at the end of 2000 to 2.0 % by early November. This paper asks, whether the Federal Reserve Bank has been surprising the markets, taking as given the conventional view about the effect of monetary policy shocks....

Persistent link: https://www.econbiz.de/10009618362

Further VAR evidence for the effectiveness of a credit channel in Germany

Holtemöller, Oliver - 2002

In this paper, the empirical relevance of the credit channel for the explanation of monetary policy transmission in Germany during the period of monetary targeting from 1975 to 1998 is analyzed. While existing studies of the credit channel rely mostly on the analysis of monetary policy effects...

Persistent link: https://www.econbiz.de/10009626675