An Alternative Bootstrap for Proxy Vector Autoregressions

Bruns, Martin and Luetkepohl, Helmut (2022) An Alternative Bootstrap for Proxy Vector Autoregressions. Computational Economics. ISSN 0927-7099 (In Press)

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

Item Type: Article
Faculty \ School: Faculty of Social Sciences > School of Economics
Depositing User: LivePure Connector
Date Deposited: 21 Sep 2022 17:30
Last Modified: 29 Sep 2022 00:38

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