Bug in estimation of VAR IRFs when using bootstrap s.e.'s

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p2021
Posts: 8
Joined: Thu Jul 01, 2021 3:35 pm

Bug in estimation of VAR IRFs when using bootstrap s.e.'s

Postby p2021 » Wed Jul 07, 2021 3:40 pm

This post is as a consequence of the following post: http://forums.eviews.com/viewtopic.php?f=4&t=21036

To illustrate the bug, I am using the sample code provided by Matt in responding to that post:

create u 50
series x = rnd
series y = x + rnd
series z = nrnd
var v.ls 1 2 x y z

vector(3) struct_shock
struct_shock.fill 1, 1, 0
matrix struct_to_endog = @cholesky(v.@residcov) ' The structural factorization matrix
vector endog_shock = struct_to_endog * struct_shock
v.impulse(imp=user, fname=endog_shock, se=a)

All of the above runs fine. But now suppose that we replace the last line with the following:

v.impulse(imp=user, fname=endog_shock, se=boot, bs=ku, rep=999, dbsrep=499, fdb, cilevels=0.68)

Eviews reports Internal Error 500, pointing the last line.

The same error is reported if one implements the last line of the code via the clickable options.

It would be great if this issue could be addressed in the next patch.

EViews Mirza
Posts: 61
Joined: Sat Apr 22, 2017 8:23 pm

Re: Bug in estimation of VAR IRFs when using bootstrap s.e.'s

Postby EViews Mirza » Tue Oct 05, 2021 8:46 am

Peter,

This is now fixed. It should go out in the next patch.


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