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Assuming I use Monte Carlo simulation to get the generalized IRF of a Var model using 100 repetitions. Am I correct in assuming that the standard errors of the IRF are calculated as (standard deviation of the 100 draws)/100? Thanks!

Hi there, could you please be more specific re the adjustment with dof that you are referring to above? I would assume that the covariance is calculated as (res'res)/(#observations-#parameters), but this doesn't match up with what Eviews gives me. Thanks!