An alternative bootstrap for proxy vector autoregressions

Bruns, Martin and Luetkepohl, Helmut (2023) An alternative bootstrap for proxy vector autoregressions. Computational Economics, 62 (4). pp. 1857-1882. ISSN 0927-7099

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Abstract

We propose a new bootstrap algorithm for inference for impulse responses in structural vector autoregressive models identified with an external proxy variable. Simulations show that the new bootstrap algorithm provides confidence intervals for impulse responses which often have more precise coverage than and similar length to the competing moving-block bootstrap intervals. An empirical example shows how the new bootstrap algorithm can be applied in the context of identifying monetary policy shocks.

Item Type:	Article
Uncontrolled Keywords:	bootstrap inference,impulse responses,instrumental variable,structural vector autoregression,economics, econometrics and finance (miscellaneous),computer science applications ,/dk/atira/pure/subjectarea/asjc/2000/2001
Faculty \ School:	Faculty of Social Sciences > School of Economics
UEA Research Groups:	Faculty of Social Sciences > Research Groups > Applied Econometrics And Finance
Related URLs:	http://www.scopus.com/inward/record.url?...
Depositing User:	LivePure Connector
Date Deposited:	21 Sep 2022 17:30
Last Modified:	14 Nov 2023 11:13
URI:	https://ueaeprints.uea.ac.uk/id/eprint/88567
DOI:	10.1007/s10614-022-10323-w

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