Comparison of bootstrap confidence intervals for impulse responses of German monetary systems

It is argued that standard impulse response analysis based on vector autoregressive models has a number of shortcomings Although the impulse responses are estimated quantities measures for sampling variability such as con dence intervals are often not provided If con dence intervals are given they are often based on bootstrap methods with poor theoretical properties These problems are illustrated using two German monetary systems Propos als are made for improving current practice Special emphasis is placed on systems with cointegrated variables We thank Michael H Neumann for helpful comments the Deutsche Forschungsgemeinschaft SFB and the European Commission under the Training and Mobility of Researchers Programme contract No ERBFMRXCT for nancial support