An Alternative Bootstrap for Proxy Vector Autoregressions
27 Pages Posted: 17 Nov 2020
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: 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
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