How accurate are confidence intervals for impulse responses in large VAR models?

DOI10.1016/S0165-1765(00)00315-3zbMath0954.91042OpenAlexW2130184014MaRDI QIDQ1583400

R. Smith

Publication date: 26 October 2000

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(00)00315-3

zbMATH Keywords

bootstrapmonetary policyMonte Carlo integrationdelta method

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; economic indices and measures (91B82)

Related Items

Joint confidence sets for structural impulse responses, The uniform validity of impulse response inference in autoregressions, Computational algorithms for double bootstrap confidence intervals, Estimation of direct and indirect impact of oil price on growth., DO TECHNOLOGY SHOCKS DRIVE HOURS UP OR DOWN? A LITTLE EVIDENCE FROM AN AGNOSTIC PROCEDURE, Impulse response confidence intervals for persistent data: what have we learned?, A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS

Uses Software

• bootstrap
• bootlib

Cites Work

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• Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions
• Confidence intervals for impulse responses under departures from normality
• Recent developments in bootstrapping time series
• Error Bands for Impulse Responses