Hello, a couple of points on bootstrap confidence intervals on
VAR impulse response functions:
- 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!)
- 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/