Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/226825 
Year of Publication: 
2020
Series/Report no.: 
DIW Discussion Papers No. 1913
Publisher: 
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin
Abstract: 
We propose a new bootstrap for inference for impulse responses in structural vector autoregressive models identified with an external proxy variable. Simulations show that the new bootstrap provides confidence intervals for impulse responses which often have more precise coverage than and similar length as the competing moving-block bootstrap intervals. An empirical example shows how the new bootstrap can be applied in the context of identifying monetary policy shocks.
Subjects: 
bootstrap inference
structural vector autoregression
impulse responses
instrumental variable
JEL: 
C32
Document Type: 
Working Paper

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