How accurate are confidence intervals for impulse responses in large VAR models?

被引：23

作者：

Kilian, L ^{[1
]}

Chang, PL

机构：

[1] Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA

[2] Ctr Econ Policy Res, London SW1Y 6LA, England

来源：

ECONOMICS LETTERS | 2000年 / 69卷 / 03期

关键词：

monetary policy; bootstrap; delta method; Monte Carlo integration;

D O I：

10.1016/S0165-1765(00)00315-3

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We study the finite-sample accuracy and average length of pointwise confidence intervals for impulse responses in vector autoregressive models with many variables and many lags. Our results complement existing simulation evidence based on much simpler bivariate models. (C) 2000 Elsevier Science S.A. All rights reserved.

引用

页码：299 / 307

页数：9

共 19 条

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