KILIAN_RESTAT1998: RATS program to replicate Kilian(1998)'s bootstrap-within-bootstrap

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Replication of Kilian(1998), "Small-Sample Confidence Intervals for Impulse Response Functions", Review of Economics and Statistics, vol 80, no 2, 218-230.

Language: RATS
Requires: RATS 9.00
Keywords: VAR; Bootstrapping (search for similar items in EconPapers)
Date: 2025-12-29
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https://estima.com/procedures/kilian_restat1998.zip (application/zip)

Related works:
Journal Article: Small-Sample Confidence Intervals For Impulse Response Functions (1998)
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