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:	KILIAN, Lutz, CHANG, Pao-Li
Format:	text
Language:	English
Published:	Institutional Knowledge at Singapore Management University 2000
Subjects:	Monetary policy Bootstrap Delta method Monte Carlo integration Econometrics
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

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spelling	sg-smu-ink.soe_research-11822019-04-05T03:08:44Z How accurate are confidence intervals for impulse responses in large VAR models? KILIAN, Lutz CHANG, Pao-Li 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. 2000-12-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/183 info:doi/10.1016/s0165-1765(00)00315-3 https://ink.library.smu.edu.sg/context/soe_research/article/1182/viewcontent/How_accurate_confidenceintervals_impulseresponses_afv.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Monetary policy Bootstrap Delta method Monte Carlo integration Econometrics
institution	Singapore Management University
building	SMU Libraries
continent	Asia
country	Singapore Singapore
content_provider	SMU Libraries
collection	InK@SMU
language	English
topic	Monetary policy Bootstrap Delta method Monte Carlo integration Econometrics
spellingShingle	Monetary policy Bootstrap Delta method Monte Carlo integration Econometrics KILIAN, Lutz CHANG, Pao-Li How accurate are confidence intervals for impulse responses in large VAR models?
description	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.
format	text
author	KILIAN, Lutz CHANG, Pao-Li
author_facet	KILIAN, Lutz CHANG, Pao-Li
author_sort	KILIAN, Lutz
title	How accurate are confidence intervals for impulse responses in large VAR models?
title_short	How accurate are confidence intervals for impulse responses in large VAR models?
title_full	How accurate are confidence intervals for impulse responses in large VAR models?
title_fullStr	How accurate are confidence intervals for impulse responses in large VAR models?
title_full_unstemmed	How accurate are confidence intervals for impulse responses in large VAR models?
title_sort	how accurate are confidence intervals for impulse responses in large var models?
publisher	Institutional Knowledge at Singapore Management University
publishDate	2000
url	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
_version_	1770569059533848576

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

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