Show simple item record

1997-10-17Buch DOI: 10.18452/3847
Problems Related to Bootstrapping Impulse Responses of Autoregressive Processes
dc.contributor.authorBenkwitz, Alexander
dc.contributor.authorLütkepohl, Helmut
dc.contributor.authorNeumann, Michael H.
dc.date.accessioned2017-06-15T22:20:03Z
dc.date.available2017-06-15T22:20:03Z
dc.date.created2006-06-08
dc.date.issued1997-10-17
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4499
dc.description.abstractBootstrap 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subject.ddc330 Wirtschaft
dc.titleProblems Related to Bootstrapping Impulse Responses of Autoregressive Processes
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10064641
dc.identifier.doihttp://dx.doi.org/10.18452/3847
dc.subject.dnb17 Wirtschaft
local.edoc.pages34
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year1997
dc.identifier.zdb2135319-0
bua.series.nameSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
bua.series.issuenumber1997,85

Show simple item record