Re: [Gretl-users] irf() bootstrap method
Am 25.10.2013 03:22, schrieb logan.j.kelly:
Hello,
One more question about irf(). Is there anything special about the
bootstrapping method it uses? I have tried to replicate it with a
combination of varsimul() resample() and irf() without the optional
alpha, and the confidence bands I get are narrower than that irf()
with the alpha argument supplied.
As Jack mentioned on this (or the devel?) list, bootstrapping irfs isn't
trivial, there's quite a bit of literature on that. So I'm not surprised
your results are different (and probably wrong, strictly speaking :-)
Nonetheless, it's of course a valid question how gretl's irf() does it
and where it's documented (apart from the source).
cheers,
sven