Publication Type
Journal Article
Version
acceptedVersion
Publication Date
12-2000
Abstract
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.
Keywords
Monetary policy, Bootstrap, Delta method, Monte Carlo integration
Discipline
Econometrics
Research Areas
International Economics
Publication
Economics Letters
Volume
69
Issue
3
First Page
299
Last Page
307
ISSN
0165-1765
Identifier
10.1016/s0165-1765(00)00315-3
Publisher
Elsevier
Citation
KILIAN, Lutz and CHANG, Pao-Li.
How accurate are confidence intervals for impulse responses in large VAR models?. (2000). Economics Letters. 69, (3), 299-307.
Available at: https://ink.library.smu.edu.sg/soe_research/183
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/s0165-1765(00)00315-3