关键词: 脉冲响应, 置信区间, 自举, 单位根

Abstract: This article proposes a new method for constructing confidence intervals for the impulse response function of a univariate time series with a near unit root. This method corrects the bias in the estimators of coefficients firstly, and then uses standard bootstrap method to construct confidence intervals. Monte Carlo simulation proves that the new method is better than other methods and it can achieve nominal confidence level consistently.

Key words: Impulse Responses, Confidence Intervals, Bootstrap, Unit Root