Problems related to confidence intervals for impulse responses of autoregressive processes
Authors:
Alexander Benkwitz a;
Michael H. Neumann a;
Helmut L
tekpohl b
tekpohl b
| Affiliations: | a Humboldt-Universitat, |
b Institut f r Statistik und konometrie, Germany |
DOI:
10.1080/07474930008800460
Publication Frequency:
6 issues per year
Formats available:
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(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.
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| Keywords: impulse response; bootstrap; autoregressive process; asymptotic inference; nonparametric inference |
| view references (24) |

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