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
confidence interval for impulse response
Moderators: EViews Gareth, EViews Moderator
-
- Posts: 4
- Joined: Sun Jun 18, 2017 2:16 am
confidence interval for impulse response
Last edited by e.kheirandish on Tue Jun 27, 2017 8:34 pm, edited 1 time in total.
-
- EViews Developer
- Posts: 563
- Joined: Thu Apr 25, 2013 7:48 pm
Re: confidence interval for impulse response
Hello,
Is the issue that the standard error bounds weren't generated when you used the .impulse procedure?
Is the issue that the standard error bounds weren't generated when you used the .impulse procedure?
-
- Posts: 4
- Joined: Sun Jun 18, 2017 2:16 am
Re: confidence interval for impulse response
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
-
- EViews Developer
- Posts: 563
- Joined: Thu Apr 25, 2013 7:48 pm
Re: confidence interval for impulse response
There are several methods for generating the bounds. You might take a look at a (relatively) simple overview, such as http://pareto.uab.es/lgambetti/VAR_Forecasting.pdf, to see what methodology you'd prefer.
-
- Posts: 4
- Joined: Sun Jun 18, 2017 2:16 am
Re: confidence interval for impulse response
Thanks a lot for your attention
Who is online
Users browsing this forum: No registered users and 48 guests