Kilian add-in

[dakila]

This thread is about the kilian add-in that that implements the Kilian bias-adjusted bootstrap for VAR impulse response.

[heer0]

Hi guys,

I have applied the Kilian add-in to a standard monetary VAR to retrieve impulse responses with bootstrapped confidence intervals. For a minority of impulse responses, the mean response exceeds the bootstrapped confidence intervals. To me, this does not make sense. For illustrative purposes, I will attach a picture of an impulse response to a monetary shock that exhibits said pattern.

I would be most grateful to you if you could provide me with possible explanations for this response behavior.

IRF_Picture.JPG (25.34 KiB) Viewed 138 times