Problems related to confidence intervals for impulse responses of autoregressive processes

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 d...

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Veröffentlicht in:	Econometric reviews 2000-01, Vol.19 (1), p.69-103
Hauptverfasser:	Benkwitz, Alexander, Neumann, Michael H., Lütekpohl, Helmut
Format:	Artikel
Sprache:	eng
Schlagworte:	asymptotic inference autoregressive process bootstrap Distribution Econometrics impulse response Least squares method Mathematical economics nonparametric inference Probability Regression analysis
Online-Zugang:	Volltext
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