Re: [Gretl-users] impulse-response functions from VECM in Grtel

So what about my last question? Are IRF confidence intervals based on bootstrapping valid even if the VECM has non-normal residuals? fredag 18 augusti 2017 skrev Allin Cottrell <cottrell(a)wfu.edu&gt;: > On Fri, 18 Aug 2017, Riccardo (Jack) Lucchetti wrote: > > On Fri, 18 Aug 2017, Sven Schreiber wrote: >> >> - I just tried your (Allin's) example setup with UNEMP PRIME in the SVAR >>> addon, and actually I get a very similar immediate effect of UNEMP->UNEMP. >>> So I think I was wrong when I inferred from the SVAR doc that the shock has >>> unit size. (There is a slight difference, but I think that's just the usual >>> issue of d-o-f corrections or not in the sigma estimate.) Perhaps the docs >>> for the SVAR add-on need to be clarified (note to self); or Jack could >>> weigh in on this. >>> >> >> I'll try to contribute to the discussion once I'm back from holiday (end >> of the month). :-) >> > > Enjoy your holiday! (Mine's about to expire.) > > Allin > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users > _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users