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How accurate are confidence intervals for impulse responses in large VAR models?

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References

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2006Small-sample confidence intervals for multivariate impulse response functions at long horizons48 cited

2012One-Dimensional Inference in Autoregressive Models With the Potential Presence of a Unit Root45 cited

2005DO TECHNOLOGY SHOCKS DRIVE HOURS UP OR DOWN? A LITTLE EVIDENCE FROM AN AGNOSTIC PROCEDURE38 cited

2019The uniform validity of impulse response inference in autoregressions33 cited

2006Impulse response confidence intervals for persistent data: What have we learned?30 cited

198314. Time Series and Forecasting30 cited

2013The impacts of standard monetary and budgetary policies on liquidity and financial markets: International evidence from the credit freeze crisis24 cited

2013Macroeconomic policy responses to financial crises in emerging European economies23 cited

2014Which Size and Evolution of the Government Expenditure Multiplier in France (1980-2010)?22 cited

2012Estimation and inference for impulse response functions from univariate strongly persistent processes19 cited

2011Bootstrapping structural VARs: Avoiding a potential bias in confidence intervals for impulse response functions16 cited

2011How the Housing and Financial Wealth Effects Have Changed over Time14 cited