Re: [Gretl-users] Bootstrap procedure for IRFs
On Mon, 18 Mar 2013, Gabriela Nodari wrote:
Thank you for the answer. I gave a look to the code but I fear I
need some
time to understand it completely.
As for the Svar I know that the user can choose the number of replications.
Instead, I would like to know what does gretl do when I ask to calculate
and plot Irfs from the model window without using the Svar pack!
Thank you!
Both the SVAR module and the C version use the simple bootstrap for
computing the confidence intervals for IRFs, as per Runkle (1987) "Vector
Autoregression and Reality", JBES.
I'll probably make the "bootstrap-after-bootstrap" method (Kilian 1998)
avalaible in the SVAR module soon, as an extra option.
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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(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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