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Problems related to confidence intervals for impulse responses of autoregressive processes 

Authors: Alexander Benkwitz a;  Michael H. Neumann a; Helmut Luumltekpohl b
Affiliations:   a Humboldt-Universitat,
b Institut fuumlr Statistik und Oumlkonometrie, Germany
DOI: 10.1080/07474930008800460
Publication Frequency: 6 issues per year
Published in: journal Econometric Reviews, Volume 19, Issue 1 2000 , pages 69 - 103
Formats available: PDF (English)
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Abstract

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.
Keywords: impulse response; bootstrap; autoregressive process; asymptotic inference; nonparametric inference
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