How do I compute bootstrap confidence interval for a VAR impulse response function?

Question

Samuel Castro 2017-6-20

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回答： Hang Qian 2017-6-28

Hi, I would like to know how can I compute a bootstrap for generating a confidence interval in a impulse response function, for a defined VAR model.

I'm trying to perform the following operation described on page 4: http://edoc.hu-berlin.de/series/sfb-373-papers/2000-22/PDF/22.pdf

This is a pretty common way to calculate confidence interval for a irf function, R can do it.

Warm Regards.

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Answer 1

Hang Qian 2017-6-28

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Hi Samuel,

To bootstrap the confidence interval, simulate VAR coefficients using the VAR point estimator and its covariance matrix, and calculating impulse response function under each set of the simulated coefficients. The sample quantile gives the confidence interval.