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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Institutional Knowledge at Singapore Management University
2000
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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 |
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Singapore Management University |
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SMU Libraries |
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Asia |
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Singapore Singapore |
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SMU Libraries |
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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 |