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1999-03-18Buch DOI: 10.18452/3698
Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems
dc.contributor.authorBenkwitz, Alexander
dc.contributor.authorLütkepohl, Helmut
dc.contributor.authorWolters, Jürgen
dc.date.accessioned2017-06-15T21:50:14Z
dc.date.available2017-06-15T21:50:14Z
dc.date.created2006-01-18
dc.date.issued1999-03-18
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4350
dc.description.abstractIt is argued that standard impulse response analysis based on vector autoregressive models has a number of shortcomings. Although the impulse responses are estimated quantities, measures for sampling variability such as confidence intervals are often not provided. If confidence intervals are given they are often based on bootstrap methods with poor theoretical properties. These problems are illustrated using two German monetary systems. Proposals are made for improving current practice. Special emphasis is placed on systems with cointegrated variables.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectmonetary policyeng
dc.subjectbootstrapeng
dc.subjectimpulse responseeng
dc.subjectmoney demand systemeng
dc.subject.ddc330 Wirtschaft
dc.titleComparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10056284
dc.identifier.doihttp://dx.doi.org/10.18452/3698
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages22
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume1999
local.edoc.container-issue29
local.edoc.container-year1999
local.edoc.container-erstkatid2135319-0

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