An alternative bootstrap for proxy vector autoregressions

Martin Bruns, Helmut Luetkepohl

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Abstract

We propose a new bootstrap algorithm for inference for impulse responses in structural vector autoregressive models identified with an external proxy variable. Simulations show that the new bootstrap algorithm provides confidence intervals for impulse responses which often have more precise coverage than and similar length to the competing moving-block bootstrap intervals. An empirical example shows how the new bootstrap algorithm can be applied in the context of identifying monetary policy shocks.

Original languageEnglish
Pages (from-to)1857-1882
Number of pages26
JournalComputational Economics
Volume62
Issue number4
Early online date9 Nov 2022
DOIs
Publication statusPublished - Dec 2023

Keywords

  • Bootstrap inference
  • Impulse responses
  • Instrumental variable
  • Structural vector autoregression

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