bootstrap inference about individual impulse responses and vectors of impulse responses when the horizon is fixed with respect … finite-sample accuracy is achieved when bootstrapping the lag-augmented autoregression using the bias adjustments of Kilian … (1999). The conventional bootstrap percentile interval for impulse responses based on this approach remains accurate even at …

This paper applies a novel bootstrap method, the kernel block bootstrap, to quasi-maximum likelihood estimation of …" bootstrap. We investigate the first order asymptotic properties of the kernel block bootstrap method for quasi …-maximum likelihood demonstrating, in particular, its consistency and the first-order asymptotic validity of the bootstrap approximation …