confidence interval for impulse response

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

e.kheirandish
Posts: 2
Joined: Sun Jun 18, 2017 2:16 am

confidence interval for impulse response

Postby e.kheirandish » Mon Jun 19, 2017 3:23 am

Hello

I estimated a VAR reduced form via OLS and generated impulse responses by programming. But I couldn't calculate confidence interval for impulse responses :( Please guide me how can I compute it. Please attention, Because of I couldn't use Eviews package for estimation of VAR, now I have only coefficient matrix and OLS estimation results, impulse response matrix and residual variance covariance matrix.

Many thanks in advance
Last edited by e.kheirandish on Tue Jun 27, 2017 8:34 pm, edited 1 time in total.

EViews Matt
EViews Developer
Posts: 105
Joined: Thu Apr 25, 2013 7:48 pm

Re: confidence interval for impulse response

Postby EViews Matt » Mon Jun 26, 2017 8:59 am

Hello,

Is the issue that the standard error bounds weren't generated when you used the .impulse procedure?

e.kheirandish
Posts: 2
Joined: Sun Jun 18, 2017 2:16 am

Re: confidence interval for impulse response

Postby e.kheirandish » Tue Jun 27, 2017 8:41 pm

EViews Matt wrote:Hello,

Is the issue that the standard error bounds weren't generated when you used the .impulse procedure?



No, since my model was an unusual model, I couldn't use the .impulse procedure. So, I generated responses manually (via Programming) and now I can't calculate standard error bounds for responses. please guide me!

very thanks in advance


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 7 guests