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

Author

Lutz KILIAN, University of Michigan - Ann Arbor
Pao-Li CHANG, Singapore Management UniversityFollow

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