confidence interval for the impulse response function

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

eviewsuser2000
Posts: 9
Joined: Sun Feb 13, 2022 5:48 am

confidence interval for the impulse response function

Postby eviewsuser2000 » Fri Feb 18, 2022 5:10 am

I am generating an impulse response function, and I want the 95% confidence interval to be displayed. If I compute the confidence interval using the "Analytic (asymptotic)" option, which displays +/- 2 standard errors based on the response asymptotic distribution (Lütkepohl, 1990) methods, then does this display the 95% confidence band?
any help is greatly appreciated. Many thanks.

random_user
Posts: 17
Joined: Wed Jun 23, 2021 1:48 pm

Re: confidence interval for the impulse response function

Postby random_user » Tue Feb 22, 2022 8:36 am

When you select analytic, it gives you +/- 2 standard errors. So, that's usually close to a 95% confidence interval (but not exactly).


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 28 guests