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

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Samuel Castro
Samuel Castro on 20 Jun 2017
Answered: Hang Qian on 28 Jun 2017
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.

Answers (1)

Hang Qian
Hang Qian on 28 Jun 2017
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.

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