An Alternative Bootstrap for Proxy Vector Autoregressions

Martin Bruns and Helmut Lütkepohl

Computational Economics, 2023, vol. 62, issue 4, No 18, 1857-1882

Abstract: 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.

Keywords: Bootstrap inference; Structural vector autoregression; Impulse responses; Instrumental variable (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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Working Paper: An Alternative Bootstrap for Proxy Vector Autoregressions (2020)
Working Paper: An Alternative Bootstrap for Proxy Vector Autoregressions (2020)
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DOI: 10.1007/s10614-022-10323-w

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