An Alternative Bootstrap for Proxy Vector Autoregressions

Martin Bruns and Helmut Luetkepohl
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Helmut Luetkepohl: DIW Berlin and Freie Universitaet Berlin
Authors registered in the RePEc Author Service: Helmut Lütkepohl

No 2020-06, University of East Anglia School of Economics Working Paper Series from School of Economics, University of East Anglia, Norwich, UK.

Abstract: We propose a new bootstrap for inference for impulse responses in structural vector autoregressive models identi ed 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.

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: 2020-11-11
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: An Alternative Bootstrap for Proxy Vector Autoregressions (2023)
Working Paper: An Alternative Bootstrap for Proxy Vector Autoregressions (2020)
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