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Problems related to confidence intervals for impulse responses of autoregressive processes

Author

Listed:
  • Alexander Benkwitz
  • Michael Neumann
  • Helmut Lutekpohl

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.

Suggested Citation

  • Alexander Benkwitz & Michael Neumann & Helmut Lutekpohl, 2000. "Problems related to confidence intervals for impulse responses of autoregressive processes," Econometric Reviews, Taylor & Francis Journals, vol. 19(1), pages 69-103.
    • Handle: RePEc:taf:emetrv:v:19:y:2000:i:1:p:69-103
    DOI: 10.1080/07474930008800460
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