Kilian add-in

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dakila
Posts: 370
Joined: Tue Nov 24, 2015 4:57 pm

Kilian add-in

Postby dakila » Tue May 28, 2019 3:21 pm

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

heer0
Posts: 22
Joined: Sat May 04, 2019 11:23 am

Re: Kilian add-in

Postby heer0 » Thu Aug 08, 2019 3:44 am

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
IRF_Picture.JPG (25.34 KiB) Viewed 93 times


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