calculation of standard errors of IRF

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christine
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Joined: Sun Feb 26, 2017 8:16 pm

calculation of standard errors of IRF

Postby christine » Sun Feb 26, 2017 9:46 pm

Assuming I use Monte Carlo simulation to get the generalized IRF of a Var model using 100 repetitions. Am I correct in assuming that the standard errors of the IRF are calculated as (standard deviation of the 100 draws)/100? Thanks!

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