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- Mon Jul 28, 2014 2:53 am
- Forum: Looking for Code?
- Topic: small sample bias corrected bootstrap bands for VAR
- Replies: 0
- Views: 3787
small sample bias corrected bootstrap bands for VAR
I am looking for RATS codes to construct confidence intervals following Kilian (1998), which account for the bias and skewness in the small-sample distribution of the impulse response functions. Kilian, L. (1998): "Small-Sample Confidence Intervals for Impulse Response Functions," The Revi...