Henrique Andrade schrieb:
Dear Gretl Community,
I have a question about how Gretl calculates the VAR impulse-responses.
Although Gretl says that an one-standard error shock is used in the
calculations I can't confirm this, once another value for the standard
error is given in the estimation results. To illustrate this I will give
an example:
<script>
open australia.gdt
"Modelo 1" <- var 1 le lpus lpau --impulse-responses
</script>
The standard-error of the "Equation 1" (le) is 0.048110, but the
impulse-response uses 0.046827 as the standard-error. I did the same
estimation using EViews and, according to that software, 0.046827 is the
standard-error with degrees of freedom correction and 0.046827 is the
standard-error without degrees of freedom correction.
Exactly, so you answered the question yourself. I tend to agree that the
displayed standard error should be used, and then this would be a small
bug. (there were some changes with VARs and dof-corrections recently,
cf. the accessors $xtxinv, $sigma, and I guess that what you saw was on
oversight -- but maybe I'm wrong and it's done on purpose)
thanks,
sven