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st: Killian "double bootstrap" confidence intervals for VAR
From
"Marta Lachowska" <[email protected]>
To
<[email protected]>
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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