2013/3/18 Riccardo (Jack) Lucchetti
<r.lucchetti@univpm.it>
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.
This would be a nice feature. So far I am only aware of JMulti (Hall and Efron percentiles ) and RATS which offer different procedures. I think Eview has implemented only a standard MC-procedure.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Universitą Politecnica delle Marche
(formerly known as Universitą di Ancona)
r.lucchetti@univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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