small sample bias corrected bootstrap bands for VAR

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Alessio
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Joined: Wed Feb 03, 2010 10:44 am

small sample bias corrected bootstrap bands for VAR

Unread post by Alessio »

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.
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