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

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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書目詳細資料
Main Authors:	KILIAN, Lutz, CHANG, Pao-Li
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2000
主題:	Monetary policy Bootstrap Delta method Monte Carlo integration Econometrics
在線閱讀:	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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