An Alternative Bootstrap for Proxy Vector Autoregressions

27 Pages Posted: 17 Nov 2020

See all articles by Martin Bruns

Martin Bruns

University of East Anglia (UEA)

Helmut Lütkepohl

Free University of Berlin (FUB)

Date Written: November 2020

Abstract

We propose a new bootstrap for inference for impulse responses in structural vector autoregressive models identified 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

JEL Classification: C32

Suggested Citation

Bruns, Martin and Lütkepohl, Helmut, An Alternative Bootstrap for Proxy Vector Autoregressions (November 2020). DIW Berlin Discussion Paper No. 1913, Available at SSRN: https://ssrn.com/abstract=3731314 or http://dx.doi.org/10.2139/ssrn.3731314

Martin Bruns

University of East Anglia (UEA) ( email )

Norwich Research Park
Norwich, Norfolk NR4 7TJ
United Kingdom

Helmut Lütkepohl (Contact Author)

Free University of Berlin (FUB)

Otto Suhr Institut for Political Science\
Ihnestrasse 21
Berlin
Germany

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
12
Abstract Views
109
PlumX Metrics