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st: Killian "double bootstrap" confidence intervals for VAR


From   "Marta Lachowska" <Marta@upjohn.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Killian "double bootstrap" confidence intervals for VAR
Date   Fri, 08 Apr 2011 11:41:43 -0400

Hello, 
 
I was wondering if anyone knows of a user-written code to compute bias-corrected "double bootstrap" confidence intervals suggested by Killian (1998)? 
 
I am estimating a VAR model in levels and would like to plot the corrected confidence bands. The paper I am referring to is:
Killian, Lutz "SMALL-SAMPLE CONFIDENCE INTERVALS FOR IMPULSE RESPONSE FUNCTIONS" Review of Economics and Statistics, 1998, 218-230
 
Thanks in advance. 
 
Kinds regards, 
Marta


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