[Gretl-users] Re: IRFs confidence intervals
On Thu, 21 Nov 2019, Stefano wrote:
dear all, one question and one comment on the bootstrap confidence
intervals
of VAR IRF's:
* is there some documentation around? in the 2019c "Guide" it is still
listed as "todo". I think the number of redrawings should documented
somewhere in the output.
* it would be nice to have the number of redrawings controlled by the
user: serious work need large numbers not needed in expoloratoy work.
I guess your best bet is to use the SVAR package: it's much more flexible
and documentation should hopefully be more detailed.
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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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