Search found 2 matches
- Wed Jan 20, 2010 2:50 pm
- Forum: Estimation
- Topic: Response Standard Errors - VAR, Monte Carlo
- Replies: 1
- Views: 4366
Response Standard Errors - VAR, Monte Carlo
Hello alltogether! I estimate the Impulse-Response of a VAR. For the standard error , I use the Monte Carlo procedure. What is the distribution in connection with the standard error estimated by MC? I'd like to use different confidence intervals e.g. 95% or 90%. If the distribution would be normal, ...
- Tue Feb 17, 2009 4:42 am
- Forum: Estimation
- Topic: VAR estimation with parameter constraints
- Replies: 2
- Views: 8408
VAR estimation with parameter constraints
Hallo altogether! I estimated a VAR model with six variables and three time lags. The t-statistics are indicating that several parameters can't be distighished differnt from zero. To get a narrower confidence intervall for the impulse response analysis and forecasting, I'd like to restrict several p...