Re: [Gretl-devel] irf() and fevd()
Am 22.05.2018 um 18:51 schrieb Allin Cottrell:
We now have irf() and fevd() functions which go part-way to meeting
Sven's suggestions. We could go all the way if we reckon it's
worthwhile (see below). Anyway, at present:
That's a very welcome addition, thanks! (Although I had to remind myself
it's all about the built-in Choleski identification.)
Is the horizon for these functions determined by the "set" command or is
it taken from the $system bundle?
The final, optional, bundle argument should be obtained via the
$system accessor
I think that it's very good that the functions can be used
"standalone"
now, without requiring an implicit context.
It seems to me that when a FEVD is wanted, most of the time you'd
want
it for a single "target" variable and all sources of variation.
Not sure
that's correct. Sometimes a new type of shock is proposed and
then the question is "how much of output does it explain? and of
consumption?" and so forth.
BTW, I'm not necessarily pushing that feature, but in principle fevd()
could also get a bootstrap variant like irf() has. It's certainly less
common to see assessments of fevd fraction uncertainty compared to irf
bands, but it would just be a mirror image.
(Am I right in assuming that a new alpha argument could be added in the
future without compromising backwards compatibility? What I mean is that
a call like fevd(<int>, <bundle>) would still be possible if the in the
future the signature would be: <int>, <optional-scalar>, <bundle>,
right?)
In the (more expensive) IRF case, however, it seems to me that the
response of a single target to a single shock (with or without a
confidence interval) would be the most "natural" unit. So you have to
specify both target and shock.
Yes, that's the way it is done now. But I've
asked myself in the past
what happens in the bootstrap case; if you call irf() in a loop to get
all responses and you want the bootstrap, it seems a bootstrap has to be
done N times instead of just once. (Or even N^2 times.)
Possible modifications: We could add a "source" argument to fevd() to
narrow the output, and for the target/shock arguments to both
functions we could let 0 signify "do everything".
The argument in favor of source in fevd is mainly the analogy to irf I'd
say. The "do everything" variant can always come later without breaking
anything; however, it would seem to be much more efficient in the
bootstrap case.
thanks,
sven