1997-10-17Buch DOI: 10.18452/3847
Problems Related to Bootstrapping Impulse Responses of Autoregressive Processes
Neumann, Michael H.
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.
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Is Part Of Series: Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes - 85, SFB 373 Papers, ISSN:1436-1086