Problems related to confidence intervals for impulse responses of autoregressive processes
分析了当前自回归过程脉冲响应置信区间方法的不可靠性，指出实际覆盖率与名义水平存在偏差，并针对简单情形提出了渐近正确的自助法替代方案。
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.