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

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