Impulse Response standard error bands

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mofar
Posts: 7
Joined: Wed Aug 18, 2010 12:21 am

Impulse Response standard error bands

Postby mofar » Thu Aug 19, 2010 11:10 am

Hi all:

my question is regarding error bands in impulse responses in EViews. As you know, EViews shows 2 S.D. error band (+,-, 2SE). I want to know if there is any way in EViews to have 1 S.D. error band for impulse responses.

many thanks in advance

EViews Gareth
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Re: Impulse Response standard error bands

Postby EViews Gareth » Thu Aug 19, 2010 11:21 am

If you calculate impulse responses from the command line (look up the Impulse View in the VAR section of the Object reference), you can save the standard errors in a matrix (using, say, the smat option), and then you can draw your own graph with as many standard errors as you like.
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mofar
Posts: 7
Joined: Wed Aug 18, 2010 12:21 am

Re: Impulse Response standard error bands

Postby mofar » Thu Aug 19, 2010 11:34 pm

many thanks for your tips.
Attached is my workfile including 3 annual timse series: oilp (oil prices), gdppc (gdp per capita) and cpi (consumer price index) from 1959-2007. I have followed your recommendation to calculate the response of gdppc and cpi to a one sd shock in oilp:
var var1.ls 1 2 oilp cpi gdppc
var1.impulse(5, m, se=mc, rep=10000, smat=myownimpulse) gdppc @oilp @oilp cpi gdppc

lag numer: 2., IRF for 5 years. Now, I reach to smat option which you said will help to calculate 1 SD error band instead of 2 SE.
in workfile you see the smat output in "myownimpulses". From this stage, I am not sure what should I do to calculate 1 SE band for response of gdppc, cpi to a shock in oilp. Can you please advise me from this stage?
thanks in advance,
Attachments
test_oilp.WF1
impulse response
(13.76 KiB) Downloaded 1182 times

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13319
Joined: Tue Sep 16, 2008 5:38 pm

Re: Impulse Response standard error bands

Postby EViews Gareth » Fri Aug 20, 2010 8:02 am

The vector myownimpulse_se contains the standard errors. Thus a 1SE band is calculated as myownimpulse+1*myownimpulse_se and myownimpulse-1*myownimpulse_se
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