Shocks in ARDL model

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vanh
Posts: 1
Joined: Mon Sep 05, 2011 11:09 pm

Shocks in ARDL model

Postby vanh » Mon Sep 05, 2011 11:44 pm

I am working with an autoregressive distributed lag model (ARDL), panel data, on Eviews7.
I am computing impulse responses for an autoregressive distributed lag model (ARDL) with a shock dummy by going through the following steps:
1. estimate the model with using the shock dummy
2. generate a baseline simulation: this requires setting to zero the shock,
3. generate an alternative simulation by setting to one— just for the first period of the simulation—the shock
4. compute impulse responses to the shock as the difference between the simulated values in steps 2 and 3 above
Question 1:
I would like to compute and plot standard deviations or confidence intervals for the impulse responses (ie. standard deviations for the difference between the simulated values in steps 2 and 3 above). Is there any way to do this?
Question 2:
Is this the most convenient way to compute the impulse responses in Eviews?

Best,
vanh

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