[Gretl-users] bootstrap inference on IRFs

Hello, a couple of points on bootstrap confidence intervals on VAR impulse response functions: 1. in the manual of the cvs 1.10.0 (december, 12) the documentation appears as "to be done". Given that these procedures are not standard (there are different ways to do them) I think that in the meanwhile some references should be included. Then the user can go and look it up by himself, as well as quoting the references properly in his work (btw: among many, one of the things about gretl that I find amazing is the quality of the documentation, something often boring and time-consuming to produce-thanks folks!) 2. I assume the confidence intervals are computed according to the most common approach, that is pointwise. If that is the case, the "shaded area" option, although graphically somehow nicer, should supplemented with a stern warning: seeing an "area" may easily reinforce the common misperception of such intervals as providing a confidence _band_ for the entire trajectory. bye, Stefano -- _________________________________________________________________________ Stefano Fachin Professore Ordinario di Statistica Economica Dip. di Scienze Statistiche Università di Roma "La Sapienza" P.le A. Moro 5 - 00185 Roma - Italia Tel. +39-06-49910834 fax +39-06-49910072 web http://stefanofachin.site.uniroma1.it/