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Re: st: Killian "double bootstrap" confidence intervals for VAR


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Killian "double bootstrap" confidence intervals for VAR
Date   Fri, 8 Apr 2011 12:13:46 -0400

Marta Lachowska <Marta@upjohn.org>:
I doubt specific Stata code exists; Kilian works in Matlab exclusively AFAIK.
But it seems like a good programming exercise; the implementation on
p.220 seems straightforward:
http://www.jstor.org/stable/2646633

On Fri, Apr 8, 2011 at 11:41 AM, Marta Lachowska <Marta@upjohn.org> wrote:
> 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
>
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