How accurate are confidence intervals for impulse responses in large VAR models?
We study the finite-sample accuracy and average length of pointwise confidence intervals for impulse responses in vector autoregressive models with many variables and many lags. Our results complement existing simulation evidence based on much simpler bivariate models.
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2000
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/183 https://ink.library.smu.edu.sg/context/soe_research/article/1182/viewcontent/How_accurate_confidenceintervals_impulseresponses_afv.pdf |
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| Institution: | Singapore Management University |
| Language: | English |