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

• 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

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.