Bayesian VAR credibility interval

[amouna82]

Hi everyone,

I would appreciate if you can explain to me how to compute the credibility interval (confidence interval) of a bayesain VAR. I am using Eviews8 and it give only the impulse responses without the credibility interval.

Thank you in advance,

Imen

[EViews Gareth]

EViews does not include CIs for BVARs.

[amouna82]

Thank you for the reply. Is there any way to compute them manually?

[amouna82]

Could you please answer to my question? Thank you

[EViews Gareth]

I don't know.

[startz]

While I haven't read the BVAR documentation carefully, I think that for at least some of the priors the posterior is normal. In this case the credible intervals are the usual mean plus or minus 1.96 standard errors.

[amouna82]

Yes. It is true, the posterior distribution is normal because I am using Minessota priors. But How can I extract the standard errors?

[startz]

Aren't the standard errors in parentheses as usual?