Re: [Gretl-users] Console command - choice of ordering for Cholesky decomposition for VAR IRF

On Mon, 7 Oct 2013, Sven Schreiber wrote: Am 07.10.2013 18:58, schrieb Allin Cottrell: > >> On Mon, 7 Oct 2013, Felipe L. Bhering wrote: >> >> I've already seen it. The output of the irf function comes the >>> confidence >>> interval. What , really , I want is not the interval of some alpha (some >>> confidence level) . >>> >>> Is it possible to output the standard error used to make this confidence >>> interval? >>> >> >> No, because it doesn't use a standard error as such, it is based on the >> "percentile method" (that is, the quantiles of the bootstrap iterations). >> To get an estimated standard error you would have to do the bootstrap >> yourself (though that might be added as an option at some point). >> >> > Just a follow-up on this: With the standard error alone you wouldn't be > able to construct any confidence intervals in this context, because in > general you cannot characterize the distribution in terms of just its > (first n) moments. > > (But of course the estimated standard deviation of the simulated > distribution may still be a useful statistic. If such an option were to > be added, it should probably also return other moments such as skewness > and kurtosis.) > Follow-up on the follow-up: IRF confidence bands are a very tricky subject. There is quite a lot of literature on that. I suggest Helmut Lütkepohl's multiple time series book to give you a hint as to why standard errors may be quite a bad idea and provide you with a few literature pointers. ------------------------------**------------------------- 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<http://www2.econ.un... ------------------------------**------------------------- _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users