Re: [Gretl-users] Console command - choice of ordering for Cholesky decomposition for VAR IRF
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.)
cheers,
sven