Re: [Gretl-users] impulse-response functions from VECM in Grtel

So the quick answer is yes? 2017-08-19 1:00 GMT+02:00 John C Frain <frainj(a)gmail.com&gt;: > Bootstrapped IRF confidence levels are used both because of problems in > the use of analytic expressions when disturbances are normal and in the > presence of non-normal distributions. To obtain a better understanding you > should consult an appropriate text. There is material in Lutkepohl and > Kratzig (2004), Applied Time Series Econometrics, Cambridge. or Neusser > (2016), Time Series Econometrics, Springer.. > > John C Frain > 3 Aranleigh Park > Rathfarnham > Dublin 14 > Ireland > www.tcd.ie/Economics/staff/frainj/home.html > mailto:frainj@tcd.ie > mailto:frainj@gmail.com > > On 18 August 2017 at 18:41, lasses skola <lassesskola(a)gmail.com&gt; wrote: > >> So what about my last question? Are IRF confidence intervals based on >> bootstrapping valid even if the VECM has non-normal residuals? >> >> >> fredag 18 augusti 2017 skrev Allin Cottrell <cottrell(a)wfu.edu&gt;: >> >>> On Fri, 18 Aug 2017, Riccardo (Jack) Lucchetti wrote: >>> >>> On Fri, 18 Aug 2017, Sven Schreiber wrote: >>>> >>>> - I just tried your (Allin's) example setup with UNEMP PRIME in the >>>>> SVAR addon, and actually I get a very similar immediate effect of >>>>> UNEMP->UNEMP. So I think I was wrong when I inferred from the SVAR doc that >>>>> the shock has unit size. (There is a slight difference, but I think that's >>>>> just the usual issue of d-o-f corrections or not in the sigma estimate.) >>>>> Perhaps the docs for the SVAR add-on need to be clarified (note to self); >>>>> or Jack could weigh in on this. >>>>> >>>> >>>> I'll try to contribute to the discussion once I'm back from holiday >>>> (end of the month). :-) >>>> >>> >>> Enjoy your holiday! (Mine's about to expire.) >>> >>> Allin >>> _______________________________________________ >>> Gretl-users mailing list >>> Gretl-users(a)lists.wfu.edu >>> http://lists.wfu.edu/mailman/listinfo/gretl-users >>> >> >> _______________________________________________ >> Gretl-users mailing list >> Gretl-users(a)lists.wfu.edu >> http://lists.wfu.edu/mailman/listinfo/gretl-users >> > > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users > _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users