Bayesian VAR IRF - standard errors

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chartwel
Posts: 12
Joined: Tue Mar 02, 2010 5:00 pm

Bayesian VAR IRF - standard errors

Postby chartwel » Fri Oct 13, 2017 8:15 am

Hi,

I'm doing some work with Bayesian VARs and I would like the impulse response function to include at least 1 if not 2 SD standard errors. I know that EViews doesn't support it at this time, but I also know that there should be a way to save the S.E.s as a matrix and do it manually. For the life of me, though, I don't have the skill or knowledge on how to do that. Could someone walk me through how to save the SEs as a matrix from a BVAR? Specifically using the built-in interface or by providing the code?

Thanks!

chartwel
Posts: 12
Joined: Tue Mar 02, 2010 5:00 pm

Re: Bayesian VAR IRF - standard errors

Postby chartwel » Fri Oct 13, 2017 8:26 am

As an example, I use this code to try and figure out the IRG:

var5.impulse(12, m, smat=myownimpulse, imp=chol) y x @y @x

but it continually gives me "error in specification of innovations or responses."

Is there something I'm missing?


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