Valentina81c - 2013-03-30

Since researches (likely requested by referees) use the bootstrap-after-bootstrap (Kilian) to set up CIs of IRFs I would like to know if the Hall's studentilized interval give me the same accuracy given by bootstrap-after-bootstrap. I have read that the second order accuracy method is one of the best but since it is time demanding I want to be sure that is at least as good as the bootstrap-after-bootstrap. I have a small sample of montly data with n=8 and T=116 and I'm estimating a SVAR