Standard errors for structural VAR
Posted: Mon May 05, 2014 6:28 am
Dear all,
I am estimating a structural VAR (SVAR) in Eviews 7, and want to plot the structural impulse response functions with error bands. Here is the relevant portion of my code:
So I am using the Monte Carlo method for generating the standard errors. I realize that to plot the irfs with error bands, I will need to do it manually, i.e. store the standard error values and then create series that equal the irf plus/minus the stadard errors. However, I can't work out how to store the standard errors generated as output. I thought that the smat option would do it, but this just seems to store the actual impulse response series. Any ideas?
Many thanks
I am estimating a structural VAR (SVAR) in Eviews 7, and want to plot the structural impulse response functions with error bands. Here is the relevant portion of my code:
Code: Select all
var gdpvar.ls 1 2 dlogy zic
gdpvar.append(svar) @lr1(@u1)=0
freeze(out1) gdpvar.svar(rtype=text)
gdpvar.impulse(40, m, imp=struct, se=mc, smat=stnderr, matbys=rsp_acc)Many thanks