Re: [Gretl-users] Console command - choice of ordering for Cholesky decomposition for VAR IRF
On Mon, 7 Oct 2013, Felipe L. Bhering wrote:
I've already seen it. The output of the irf function comes the
confidence
interval. What , really , I want is not the interval of some alpha (some
confidence level) .
Is it possible to output the standard error used to make this confidence
interval?
No, because it doesn't use a standard error as such, it is based on the
"percentile method" (that is, the quantiles of the bootstrap iterations).
To get an estimated standard error you would have to do the bootstrap
yourself (though that might be added as an option at some point).
Allin Cottrell