Algorithm for IRF confidence intervals

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exkiwicber
Posts: 3
Joined: Thu May 29, 2014 10:58 am

Algorithm for IRF confidence intervals

Postby exkiwicber » Thu May 29, 2014 11:01 am

Can you tell me if you have written down somewhere algorithms you are using to
compute impulse response function confidence intervals? I can't seem to
find it in the Eviews manuals?

If not, what about article citations that you relied on?

Thanks

EViews Glenn
EViews Developer
Posts: 2682
Joined: Wed Oct 15, 2008 9:17 am

Re: Algorithm for IRF confidence intervals

Postby EViews Glenn » Thu May 29, 2014 11:44 am

Lütkepohl, Helmut (1991). Introduction to Multiple Time Series Analysis, New York: Springer-Verlag. p.97ff


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