Sven Schreiber schrieb:
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:
> open australia.gdt
> "Modelo 1" <- var 1 le lpus lpau --impulse-responses
> 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)
[moving over to devel]
Allin, so do you think this is a bug?