Dear list, 1. My question is about choice of ordering for Cholesky decomposition for VAR Impulse response function in Var/VEC. in Gretl 1.9 version this started working for Gui - enable choice of ordering for Cholesky decomposition for VAR impulse response plots I wanted to know how to change order of cholesky decomposition via console command.

2. Another thing is that my gretl just stopped recognizing the \ char at the end of the line. It has happened before to you?

wrote:

It's something I manage to work. Thanks,Felipe

On Mon, 7 Oct 2013, Felipe L. Bhering wrote: > is it possible via console to get the standard errors from bootstrapped irf > results? Yes, see the help for the irf function. Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users

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).

On Mon, 7 Oct 2013, Sven Schreiber wrote: Am 07.10.2013 18:58, schrieb Allin Cottrell: > >> 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). >> >> > Just a follow-up on this: With the standard error alone you wouldn't be > able to construct any confidence intervals in this context, because in > general you cannot characterize the distribution in terms of just its > (first n) moments. > > (But of course the estimated standard deviation of the simulated > distribution may still be a useful statistic. If such an option were to > be added, it should probably also return other moments such as skewness > and kurtosis.) > Follow-up on the follow-up: IRF confidence bands are a very tricky subject. There is quite a lot of literature on that. I suggest Helmut Lütkepohl's multiple time series book to give you a hint as to why standard errors may be quite a bad idea and provide you with a few literature pointers. ------------------------------**------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/**servizi/hpp/lucchetti<http://www2.econ.un... ------------------------------**------------------------- _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users