Kilian(1998) Bootstrap-in-bootstrap

[TomDoan]

This does replications of the bootstrap-within-bootstrap for analyzing impulse responses for a VAR from Kilian(1998), "Small-Sample Confidence Intervals for Impulse Response Functions", Review of Economics and Statistics, vol 80, no 2, 218-230. In the zip, there are two programs: DGPMODEL.RPF does the simulated model, and MACROMODEL.RPF does the empirical example. Both rely upon the procedures in the kilianbootsetup.src, which itself relies upon the procedures in varbootsetup.src (which is already included with RATS).

Note that this requires features from RATS version 9: in particular, the FLATTEN option on IMPULSE and the FFUNCTION option on @MCVARDODRAWS.

https://estima.com/procs_perl/kilian_restat1998.zip