small sample bias corrected bootstrap bands for VAR
Posted: Mon Jul 28, 2014 2:53 am
I am looking for RATS codes to construct confidence intervals following Kilian (1998), which account for the bias and
skewness in the small-sample distribution of the impulse response functions.
Kilian, L. (1998): "Small-Sample Confidence Intervals for Impulse Response Functions," The Review of Economics and Statistics, 80(2), 218{230.
skewness in the small-sample distribution of the impulse response functions.
Kilian, L. (1998): "Small-Sample Confidence Intervals for Impulse Response Functions," The Review of Economics and Statistics, 80(2), 218{230.