Re: [Gretl-users] IRF confidence bands bootstrapping methodology
On Fri, 3 Aug 2012, Logan Kelly wrote:
Is there any documentation available on the particulars of
the IRF confidence bands bootstrapping methodology employed
by the built in var function?
Not exactly, at this point. But the code itself should be
fairly comprehensible, and is reasonably well commented:
http://gretl.cvs.sourceforge.net/viewvc/gretl/gretl/lib/src/irfboot.c?rev...
Allin Cottrell