Scaled IRF add-in and standard errors

For questions about EViews Add-ins available from the EViews Add-ins webpage. Note each add-in available on our webpage will have its own individual thread.

Moderators: EViews Gareth, EViews Moderator, EViews Esther

jlom15
Posts: 1
Joined: Tue Jan 24, 2023 5:47 pm

Scaled IRF add-in and standard errors

Postby jlom15 » Wed Jan 25, 2023 10:45 am

Hello everyone,

I was using the Scaled IRF add-in to calculate impulse response functions from a SVAR (non-recursive), I noticed that when I get the standard errors directly from the Eviews command window (Asymptotic), it doesn't match with the standard errors that the add-in gives me (I set a value of 2 in the box "multiplication of standard error"). The response to the shock does match exactly, but the standard errors do not.

Does anyone know if the scaled IRF add-in does a different procedure to calculate standard errors? or is there an error? Which of the two standard errors should I trust?

Thanks in advance

Return to “Add-in Support”

Who is online

Users browsing this forum: No registered users and 10 guests