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
Algorithm for IRF confidence intervals
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Re: Algorithm for IRF confidence intervals
Lütkepohl, Helmut (1991). Introduction to Multiple Time Series Analysis, New York: Springer-Verlag. p.97ff
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