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Algorithm for IRF confidence intervals

Posted: Thu May 29, 2014 11:01 am
by exkiwicber
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

Re: Algorithm for IRF confidence intervals

Posted: Thu May 29, 2014 11:44 am
by EViews Glenn
Lütkepohl, Helmut (1991). Introduction to Multiple Time Series Analysis, New York: Springer-Verlag. p.97ff