[Gretl-users] Re: bootstrap IRFs
On Fri, 22 Nov 2019, Stefano wrote:
although Jack is indeed always right and the SVAR package is
obviously a more
natural place to do IRFs, my question was prompted by the need to demonstrate
the basics of VAR estimation in class - for this purpose the GUI command and
associated outoput menus "Tests", "Analysis" etc is perfectly fit,
except
that I feel uncomortable to show confidence intervals with unclear
characteristics :-)
Hi Stefano,
I'm now working on this -- in the first instance, allowing the user
to specify a number of bootstrap iterations (plus increasing the
default, as Sven has suggested).
It's many years since this particular chunk of the gretl C code was
written. Meanwhile personal computer speeds and memory have of
course increased dramatically, so it's indeed time for an update.
Allin