Because the parameters of vector autoregressive processes are often difficult to interpret directly, econometricians use quantities derived from the parameters to disentangle the relationships between the variables. Bootstrap methods are often used for inference on the derived quantities. Alternative bootstrap methods for this purpose are discussed, some related problems are pointed out and proposals are presented to overcome the difficulties at least partly. Some remaining problems are presented.
CITATION STYLE
Lütkepohl, H. (2000). Bootstrapping impulse responses in VAR analyses. In COMPSTAT (pp. 109–119). Physica-Verlag HD. https://doi.org/10.1007/978-3-642-57678-2_10
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