Re: [Gretl-users] Bootstrap procedure for IRFs

On Mon, 18 Mar 2013, Gabriela Nodari wrote: Thank you for the answer. I gave a look to the code but I fear I need > some > time to understand it completely. > > As for the Svar I know that the user can choose the number of > replications. > Instead, I would like to know what does gretl do when I ask to calculate > and plot Irfs from the model window without using the Svar pack! > > Thank you! > Both the SVAR module and the C version use the simple bootstrap for computing the confidence intervals for IRFs, as per Runkle (1987) "Vector Autoregression and Reality", JBES. I'll probably make the "bootstrap-after-bootstrap" method (Kilian 1998) avalaible in the SVAR module soon, as an extra option.

------------------------------**------------------------- 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