Re: [Gretl-users] Question about SVAR
Am 19.07.2014 21:28, schrieb Logan Kelly:
Hello,
I am estimating a “plain” model with the SVAR package because the
native irf() function returns :
Matrix is not positive definite
(Note: the reason for this error is discussed in another post)
Thus, I am trying the SVAR package, but the “actual” irf estimate is
always above the bootstraped confidence bands. I am using the bias
corrected bootstrapping method (Killian 1989).
I am thinking this must be a problem with my data, not SVAR or gretl?
Does that sound right?
It sounds right in the sense that I have seen these strange things
happen with other software before. IIRC the point is in the bias
correction indeed, which in some sense highlights the bias in the
original point estimate.
-sven