Response Standard Errors - VAR, Monte Carlo

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Caleb
Posts: 2
Joined: Tue Feb 17, 2009 4:12 am

Response Standard Errors - VAR, Monte Carlo

Postby Caleb » Wed Jan 20, 2010 2:50 pm

Hello alltogether!

I estimate the Impulse-Response of a VAR. For the standard error, I use the Monte Carlo procedure.

What is the distribution in connection with the standard error estimated by MC? I'd like to use different confidence intervals e.g. 95% or 90%. If the distribution would be normal, I would take 1,96*standard deviation for 95% or 1.68*sd for 90%.

If I display the Impulse Response, then EViews uses error bounds with 2*sd without saying to which confidence interval that matches. What is the reason?

I would be very obliged for information about the distribution, the MC standard error refers to.

Best regards,
Stefan

ArtQz
Posts: 6
Joined: Tue Jul 19, 2016 5:18 am

Re: Response Standard Errors - VAR, Monte Carlo

Postby ArtQz » Tue Aug 02, 2016 9:43 am

up


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