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An Alternative Bootstrap for Proxy Vector Autoregressions

Author

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  • Martin Bruns

    (University of East Anglia)

  • Helmut Lütkepohl

    (DIW Berlin and Freie Universität Berlin)

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.

Suggested Citation

  • Martin Bruns & Helmut Lütkepohl, 2023. "An Alternative Bootstrap for Proxy Vector Autoregressions," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1857-1882, December.
    • Handle: RePEc:kap:compec:v:62:y:2023:i:4:d:10.1007_s10614-022-10323-w
    DOI: 10.1007/s10614-022-10323-w
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    Cited by:

    1. Martin Bruns & Helmut Luetkepohl, 2022. "Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies," University of East Anglia School of Economics Working Paper Series 2022-02, School of Economics, University of East Anglia, Norwich, UK..
    2. Bruns, Martin & Lütkepohl, Helmut, 2022. "Comparison of local projection estimators for proxy vector autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).

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    More about this item

    Keywords

    Bootstrap inference; Structural vector autoregression; Impulse responses; Instrumental variable;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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