BOOTVAR—Simple bootstrapping for IRF's in VAR
Posted: Fri Aug 02, 2024 12:01 pm
bootvar.rpf demonstrates simple bootstrapping for a VAR for computing error bands for the IRF. A more involved "bias-corrected" bootstrap is shown in the Kilian(1998) replication.
This does IRF's for Cholesky factor shocks, but can be used for any standard (parametric) type of contemporaneous model, since it maintains the original contemporaneous relationships among the residuals.
Detailed description
This does IRF's for Cholesky factor shocks, but can be used for any standard (parametric) type of contemporaneous model, since it maintains the original contemporaneous relationships among the residuals.
Detailed description