On Thu, 21 Nov 2019, Stefano wrote:

dear all, one question and one comment on the bootstrap confidence intervals of VAR IRF's:

* is there some documentation around? in the 2019c "Guide" it is still
  listed as "todo". I think the number of redrawings should documented
  somewhere in the output.

You're right; nevertheless lib/src/var.c in the comment on line 1734 says: "based on 999 bootstrap replications".  And in lib/src/irfboot.c in line 33 this is specified: "# define BOOT_ITERS 999".

Do you think it would help to paste this information in the relevant section of the guide, even if the rest stays empty/todo? Apart from the fact that nowadays it might be reasonable to increase the default somewhat. Perhaps it could be user settable via a new 'set' option.

* it would be nice to have the number of redrawings controlled by the
  user: serious work need large numbers not needed in expoloratoy work.

I guess your best bet is to use the SVAR package: it's much more flexible and documentation should hopefully be more detailed.

jack is right of course ;-)

cheers

sven

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  Riccardo (Jack) Lucchetti
  Dipartimento di Scienze Economiche e Sociali (DiSES)

  Università Politecnica delle Marche
  (formerly known as Università di Ancona)

  r.lucchetti@univpm.it
  http://www2.econ.univpm.it/servizi/hpp/lucchetti
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