SVAR confidence bands with LR restriction

[jfwarren]

Hi, I'm running a two variable VAR with a LR (Blanchard Quah) restriction. I am running it with the second difference of log real GDP and the first difference of the savings rate; the restriction is that shocks to the savings rate have no long run impact on growth of GDP. So, I would expect the accumulated impulse response of Output to my savings shock to converge to zero.

I have put this into Eviews in Matrix form using the 'C' Matrix and setting the top right element to zero.

I would also like to get confidence bands around my impulse response functions...

Could someone explain to me how you can do this

Many thanks

[jfwarren]

Could I get some help on the coding for this! Would be much appreciated

[trubador]

Unfortunately, EViews does not have any built-in procedures to do so. A bootstrap code can be written with some effort, but it will have a problem of generating asymmetric error bands. The proper approach would be MCMC, but again EViews currently does not have any built-in functions for that purpose. So you need to write a code from scratch. You can try doing so and come back to ask if you need any help during the process.