I have two questions related to the impulse response functions of VEC
models.
(1) How many draws are conducted when bootstrapping the confidence
intervals and how can their value be modified?
(2) I want to calculate the percentage responses to a 1 percent change in a
specific shock variable (which comes first in the Cholesky ordering). Since
all variables enter the model in natural logs, I divided the default
impulse responses by one standard error (SE) of the logged shock variable
to achieve this. Looking at the summary statistics and calculating one SE
as <one standard deviation> / <square root of no. of observations> gives me
something different from the value of the logged shock variable in period
1, however. Since I presume this is the contemporaneous/instantaneous
impact (corresponding to period 0 in the graphs), I would expect both
values to be the same, since the variable should respond by exactly one SE
when itself is shocked by one SE. What am I doing wrong?
Thank you for your help.
Thomas