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

C-Tier

Journal: Economics Letters

Year: 2000

Volume: 69

Issue: 3

Pages: 299-307

Authors (2)

Kilian, Lutz (Federal Reserve Bank of Dallas) Chang, Pao-Li (not in RePEc)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count