Vector Autoregressions and Reality
Datos Bibliográficos
| ID | 19418404 |
|---|---|
| Autores | David E Runkle (Federal Reserve Bank of Minneapolis, autor de correspondencia) |
| Año | 1987 |
| Volumen | 5 |
| Número | 4 |
| Páginas | 437-442 |
| Fecha de publicación | 1987-10-01 |
| Peer Reviewed | Sí |
| Open Access | No |
| Tipo | ARTICLE |
| Revista | Journal of Business and Economic Statistics (JOURNAL) |
| Identificadores de la revista | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Editorial | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.1987.10509609 |
| OpenAlex | W4289257410 |
| Idioma | EN |
| Citas recibidas | 21 |
| Referencias citadas | 8 |
This article questions the statistical significance of variance decompositions and impulse response functions for unrestricted vector autoregressions. It suggests that previous authors have failed to provide confidence intervals for variance decompositions and impulse response functions. Two methods of computing such confidence intervals are developed: first, using a normal approximation; second, using bootstrapped resampling. An example from Sims's work is used to illustrate the importance of computing these confidence intervals. In this example, the 95% confidence intervals for variance decompositions span up to 66 percentage points at the usual forecasting horizon
CDF-based nonparametric confidence interval · Confidence distribution · Confidence interval · Confidence region · Econometrics · Economics · Impulse response · Mathematical analysis · Resampling · Robust confidence intervals · Statistics · Advanced Statistical Methods and Models · Forecasting Techniques and Applications · Mathematics · Monetary Policy and Economic Impact
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| Obras citantes distintas | 21 |
|---|---|
| Citas por año | 0,58 |
| Intervalo de citas | 1990 - 2024 (35) |
| Velocidad de citación | recent |
| Altamente citado | No |
| Tipos de cita | Neutras: 18 |