An Alternative Bootstrap for Proxy Vector Autoregressions

Discussion Papers 1913, 25 S.

Martin Bruns, Helmut Lütkepohl

2020

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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.



JEL-Classification: C32
Keywords: Bootstrap inference, structural vector autoregression, impulse responses, instrumental variable