Kilian add-in

[dakila]

This thread is about the kilian add-in that that implements the Kilian bias-adjusted bootstrap for VAR impulse response.

[heer0]

Hi guys,

I have applied the Kilian add-in to a standard monetary VAR to retrieve impulse responses with bootstrapped confidence intervals. For a minority of impulse responses, the mean response exceeds the bootstrapped confidence intervals. To me, this does not make sense. For illustrative purposes, I will attach a picture of an impulse response to a monetary shock that exhibits said pattern.

I would be most grateful to you if you could provide me with possible explanations for this response behavior.

IRF_Picture.JPG (25.34 KiB) Viewed 10641 times

[Wiz_Ven]

Dear guys,
I have a problem with the Kilian add-in. I am running the code (the impulse variable is "dl_t_size") after a VAR estimation and it appears this error "Error 52 in encrypted program". My Eviews version is 11 updated to the last patch. Attached is the Eviews file. Thank you in advance.

[dakila]

The bug is fixed. I hope the moderator will upload the add-in soon.

[EViews Gareth]

Will be a week or so

[SilvioBerlusconi]

Dear all,
thank you very much for providing this add-in. It is very useful.
I am wondering how can I obtain accumulated 'bands' when I use variables at the first-differences. The Kilian add-in (differently from the 'scale IRFs' add-in') cannot provided accumulated IRFs. I am wondering if it is sufficient to accumulate the bands provided by the Kilian add-in. are you going to implement this tool by allowing the add-in to accumulated directly IRFs and Bands?
Best,
S

[dakila]

I will try to include the option which provides the accumulative IRFs. Yes, you can do this manually after saving the IRFs or write code.

[SilvioBerlusconi]

Thank you vary much for your help and effort.
I do not know neither the code for estimating the Kilian bootstrap in VAR models nor for estimating a 'scale factor for IRF'. The latter for instance is present in the Scale IRF add-in and not in the Kilian add-in.
Best,
S