{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,29]],"date-time":"2026-09-29T03:16:40Z","timestamp":1790651800629,"version":"4.1.0"},"reference-count":33,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2018,10,17]],"date-time":"2018-10-17T00:00:00Z","timestamp":1539734400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2019,3]]},"abstract":"<jats:title>Summary<\/jats:title><jats:p>In this study, we consider residual\u2010based bootstrap methods to construct the confidence interval for structural impulse response functions in factor\u2010augmented vector autoregressions. In particular, we compare the bootstrap with factor estimation (Procedure A) with the bootstrap without factor estimation (Procedure B). Both procedures are asymptotically valid under the condition \n<jats:inline-graphic xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"graphic\/jae2659-math-0001.png\" xlink:title=\"urn:x-wiley:jae:media:jae2659:jae2659-math-0001\"\/>, where <jats:italic>N<\/jats:italic> and <jats:italic>T<\/jats:italic> are the cross\u2010sectional dimension and the time dimension, respectively. However, Procedure A is also valid even when \n<jats:inline-graphic xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"graphic\/jae2659-math-0002.png\" xlink:title=\"urn:x-wiley:jae:media:jae2659:jae2659-math-0002\"\/> with 0\u2009\u2264\u2009<jats:italic>c<\/jats:italic>\u2009&lt;\u2009<jats:italic>\u221e<\/jats:italic> because it accounts for the effect of the factor estimation errors on the impulse response function estimator. Our simulation results suggest that Procedure A achieves more accurate coverage rates than those of Procedure B, especially when <jats:italic>N<\/jats:italic> is much smaller than <jats:italic>T<\/jats:italic>. In the monetary policy analysis of Bernanke et al.\u00a0(<jats:italic>Quarterly Journal of Economics<\/jats:italic>, 2005, <jats:italic>120<\/jats:italic>(1), 387\u2013422), the proposed methods can produce statistically different results.<\/jats:p>","DOI":"10.1002\/jae.2659","type":"journal-article","created":{"date-parts":[[2018,9,26]],"date-time":"2018-09-26T02:19:43Z","timestamp":1537928383000},"page":"247-267","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":23,"title":["Bootstrap inference for impulse response functions in factor\u2010augmented vector autoregressions"],"prefix":"10.1002","volume":"34","author":[{"given":"Yohei","family":"Yamamoto","sequence":"first","affiliation":[{"name":"Department of Economics Hitotsubashi University  Tokyo Japan"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2018,10,17]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2007.12.002"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-3932(03)00032-1"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2015.1111222"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2006.00696.x"},{"issue":"1","key":"e_1_2_10_6_1","first-page":"387","article-title":"Measuring the effects of monetary policy: A factor\u2010augmented vector autoregressive (FAVAR) approach","volume":"120","author":"Bernanke B. S.","year":"2005","journal-title":"Quarterly Journal of Economics"},{"issue":"4","key":"e_1_2_10_7_1","first-page":"655","article-title":"The dynamic effects of aggregate demand and supply disturbances","volume":"79","author":"Blanchard O. J.","year":"1989","journal-title":"American Economic Review"},{"key":"e_1_2_10_8_1","doi-asserted-by":"crossref","unstructured":"Boivin J. &Giannoni M. P.(2006).DGSE models in a data\u2010rich environment. (NBER Working Paper No.\u00a012772).Cambridge MA: National Bureau of Economic Research.","DOI":"10.3386\/w12772"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.99.1.350"},{"key":"e_1_2_10_10_1","doi-asserted-by":"crossref","unstructured":"Boivin J. Giannoni M. P. &Stevanovi\u0107 D.(2013).Dynamic effects of credit shocks in a data\u2010rich environment. (FRB of New York Staff Report No. 615).New York NY: Federal Reserve Bank.","DOI":"10.2139\/ssrn.2268093"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.10.004"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.04.011"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/jtsa.12118"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2013.818005"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2009.11.009"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.680521"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2009.03.017"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.04.015"},{"key":"e_1_2_10_19_1","unstructured":"Gon\u00e7alves S. &Perron B.(2016).Bootstrapping factor models with cross\u2010sectional dependence. (Working paper).Montreal Canada: University of Montreal Department of Economic Sciences."},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2015.1054492"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4612-4384-7"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.1162\/003465398557465"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1162\/003465399558517"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.1017\/9781108164818"},{"key":"e_1_2_10_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp081"},{"key":"e_1_2_10_26_1","first-page":"313","volume-title":"Handbook of empirical economics and finance","author":"Ludvigson S. C.","year":"2009"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-540-27752-1"},{"key":"e_1_2_10_28_1","doi-asserted-by":"crossref","unstructured":"McCracken M. W. &Ng S.(2015).FRED\u2010MD: A monthly database for macroeconomic research. (Working Paper Series 2015\u2010012B).St Louis MO: Federal Reserve Bank of St.\u00a0Louis.","DOI":"10.20955\/wp.2015.012"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2008.06.002"},{"key":"e_1_2_10_30_1","unstructured":"Sargent T. J. &Sims C. A.(1977).Business cycle modeling without pretending to have too much a priori economic theory. (FRB Working Paper 55).Minneapolis MN: Federal Reserve Bank."},{"key":"e_1_2_10_31_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474938.2015.1092825"},{"key":"e_1_2_10_32_1","doi-asserted-by":"crossref","unstructured":"Stock J. H. &Watson M. W.(2005).Implications of dynamic factor models for VAR analysis. (NBER Working Paper 11467).Cambridge MA: National Bureau of Economic Research.","DOI":"10.3386\/w11467"},{"key":"e_1_2_10_33_1","doi-asserted-by":"publisher","DOI":"10.1093\/oxfordhb\/9780195398649.013.0003"},{"key":"e_1_2_10_34_1","unstructured":"Yamamoto Y.(2015).Asymptotic inference for common factor models in the presence of jumps. (HIAS Discussion Paper series E\u20104).Tokyo Japan: Hitotsubashi Institute for Advanced Study Hitotsubashi University."}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.2659","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.2659","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/jae.2659","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.2659","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,2]],"date-time":"2023-09-02T14:37:55Z","timestamp":1693665475000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.2659"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2018,10,17]]},"references-count":33,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2019,3]]}},"alternative-id":["10.1002\/jae.2659"],"URL":"https:\/\/doi.org\/10.1002\/jae.2659","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2018,10,17]]},"assertion":[{"value":"2016-05-27","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-08-26","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2018-10-17","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}