Confidence intervals for BVAR impulse responses?

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Mattdered
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Joined: Wed Jul 03, 2019 2:46 am

Confidence intervals for BVAR impulse responses?

Postby Mattdered » Tue Jul 16, 2019 10:14 am

Hello,

I know that Eviews does not give the option to calculate the confidence intervals for the IRFs of BVARs, but there must be ways of calculating these manually since I've seen them presented in the results of papers.

Any guidance on how to manually calculate CI's for BVARs using an Eviews program?

I'm using Eviews 9.5

Thanks.

EViews Gareth
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Re: Confidence intervals for BVAR impulse responses?

Postby EViews Gareth » Tue Jul 16, 2019 10:23 am

Upgrade to EViews 11, where you can compute them (via MCMC).
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Mattdered
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Joined: Wed Jul 03, 2019 2:46 am

Re: Confidence intervals for BVAR impulse responses?

Postby Mattdered » Thu Aug 01, 2019 8:21 am

I've just got the upgraded Eviews 11 at my university. Can you tell me how I can calculate the impulse standard errors using MCMC? I still see that standard errors for impulse responses are disabled in BVARs and VECs.

I'm estimating a BVAR using Litterman priors.

EViews Gareth
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Re: Confidence intervals for BVAR impulse responses?

Postby EViews Gareth » Thu Aug 01, 2019 8:27 am

Keep the simulations in a new page, then compute the quantiles of the simulations you want.
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Mattdered
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Re: Confidence intervals for BVAR impulse responses?

Postby Mattdered » Thu Aug 01, 2019 9:04 am

Ok, thanks. Technical question: I could use the standard deviation of each simulation at one period x 1.96 to get the +- standard errors for 95%?

EViews Gareth
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Re: Confidence intervals for BVAR impulse responses?

Postby EViews Gareth » Thu Aug 01, 2019 9:08 am

Technically, yes, but I suspect a Bayesian would tell you to use the 95% quantiles.
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