Before revision: In many macroeconomic applications, impulse responses and their frequentist confidence intervals are constructed by estimating a VAR model in levels - thus ignoring uncertainty regarding the true (unknown) cointegration rank . In this paper we investigate the consequences of ignoring this uncertainty.
After revision: In many macroeconomic applications, impulse responses and their frequentist confidence intervals are constructed by estimating a VAR model in levels - ignoring cointegration rank uncertainty. We investigate the consequences of ignoring this uncertainty.