Bootstrapping Smooth Functions of Slope Parameters and Innovation Variances in VAR (∞) Models

Atsushi Inoue and Lutz Kilian

International Economic Review, 2002, vol. 43, issue 2, 309-332

Abstract: It is common to conduct bootstrap inference in vector autoregressive (VAR) models based on the assumption that the underlying data-generating process is of finite-lag order. This assumption is implausible in practice. We establish the asymptotic validity of the residual-based bootstrap method for smooth functions of VAR slope parameters and innovation variances under the alternative assumption that a sequence of finite-lag order VAR models is fitted to data generated by a VAR process of possibly infinite order. This class of statistics includes measures of predictability and orthogonalized impulse responses and variance decompositions. Our approach provides an alternative to the use of the asymptotic normal approximation and can be used even in the absence of closed-form solutions for the variance of the estimator. We illustrate the practical relevance of our findings for applied work, including the evaluation of macroeconomic models. Copyright Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association

Date: 2002
References: Add references at CitEc
Citations: View citations in EconPapers (39)

Downloads: (external link)
http://openurl.ingenta.com/content?genre=article&i ... &volume=43&spage=309 (application/pdf)
Free access to full text is restricted to Ingenta subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ier:iecrev:v:43:y:2002:i:2:p:309-332

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0020-6598

Access Statistics for this article

International Economic Review is currently edited by Harold L. Cole

More articles in International Economic Review from Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association 160 McNeil Building, 3718 Locust Walk, Philadelphia, PA 19104-6297. Contact information at EDIRC.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and ().