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Bootstrapping In Vector Autoregressions: An Application To The Pork Sector

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  • Susanto, Dwi
  • Zapata, Hector O.
  • Cramer, Gail L.

Abstract

Standard bootstrap method is used to generate confidence intervals (CIs) of impulse response functions of VAR and SVAR models in the pork sector. In the VAR model, the bootstrap method does not produce significant different results from Monte Carlo simulations. In the SVAR analysis, on the other hand, the bootstrap CIs are significantly different from Monte Carlo CIs after a six period forecast intervals. This suggests that the choice of method used to measure reliability of IRFs is not trivial. Furthermore, bootstrap CIs in SVAR model seem to be more stable than MC CIs, which tend to be wider in the longer horizons.

Suggested Citation

  • Susanto, Dwi & Zapata, Hector O. & Cramer, Gail L., 2004. "Bootstrapping In Vector Autoregressions: An Application To The Pork Sector," 2004 Annual meeting, August 1-4, Denver, CO 20051, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea04:20051
    DOI: 10.22004/ag.econ.20051
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    References listed on IDEAS

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    1. James M. MacDonald & Michael E. Ollinger, 2000. "Scale Economies and Consolidation in Hog Slaughter," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 82(2), pages 334-346.
    2. Lutz Kilian, 1998. "Small-Sample Confidence Intervals For Impulse Response Functions," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 218-230, May.
    3. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
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