Yamamoto, Yohei - Institute of Economic Research, Hitotsubashi University - 2012
bootstrap procedures for the identified structural IRFs are compared: A) bootstrap with factor estimation and B) bootstrap … without factor estimation. Although both procedures are asymptotically valid in the first-order under √T/N→0 (T and N are … the time and the cross sectional dimensions), the errors in the factor estimation produce higher-order discrepancies. The …