Re: [Gretl-devel] [Gretl-users] VAR: Impulse-response

Henrique Andrade schrieb: > Dear Gretl Community, > > I have a question about how Gretl calculates the VAR impulse-responses. > Although Gretl says that an one-standard error shock is used in the > calculations I can't confirm this, once another value for the standard > error is given in the estimation results. To illustrate this I will give > an example: > > <script> > open australia.gdt > "Modelo 1" <- var 1 le lpus lpau --impulse-responses > </script> > > The standard-error of the "Equation 1" (le) is 0.048110, but the > impulse-response uses 0.046827 as the standard-error. I did the same > estimation using EViews and, according to that software, 0.046827 is the > standard-error with degrees of freedom correction and 0.046827 is the > standard-error without degrees of freedom correction. > > Exactly, so you answered the question yourself. I tend to agree that the displayed standard error should be used, and then this would be a small bug. (there were some changes with VARs and dof-corrections recently, cf. the accessors $xtxinv, $sigma, and I guess that what you saw was on oversight -- but maybe I'm wrong and it's done on purpose)