Bias-Corrected Bootstrap Cholesky IRF Confidence Bands (Kilian 1998)

Bias-Corrected Bootstrap Cholesky IRF Confidence Bands (Kilian 1998)

Usage

fbootstrapCholCorrected(
  y,
  var_result,
  nboot1,
  nboot2,
  horizon,
  prc,
  bootscheme,
  exog = NULL,
  n_threads = 0L
)

Arguments

y

T x N matrix of endogenous variables.

var_result

List returned by fVAR().

nboot1

First-pass bootstrap replications for bias estimation.

nboot2

Second-pass bootstrap replications for confidence bands.

horizon

Maximum IRF horizon.

prc

Confidence level in percent (e.g. 68 or 90).

bootscheme

"residual" or "wild".

exog

Optional T x M matrix of exogenous variables. Default NULL.

n_threads

OpenMP threads. 0 = all cores minus one.

Value

List: bootchol, upper, lower, boot_beta, Beta, corrections.