Vector Autoregressions and Reality
指出无约束向量自回归的方差分解和脉冲响应函数的统计显著性存疑，并开发了两种计算置信区间的方法，通过Sims的实例说明其重要性。
The statistical significance of variance decompositions and impulse response functions for unrestricted vector autoregressions is questionable. Most previous studies are suspect because they have not provided confidence intervals for variance decompositions and impulse response functions. Here two methods of computing such intervals are developed, one using a normal approximation, the other using bootstrapped resampling. An example from Sims? work illustrates the importance of computing these confidence intervals. In the example, the 95 percent confidence intervals for variance decompositions span up to 66 percentage points at that usual forecasting horizon.