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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| المؤلفون الرئيسيون: | , |
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| التنسيق: | text |
| اللغة: | English |
| منشور في: |
Institutional Knowledge at Singapore Management University
2000
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| الموضوعات: | |
| الوصول للمادة أونلاين: | 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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| المؤسسة: | Singapore Management University |
| اللغة: | English |