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Hello

I estimated a VAR reduced form via OLS and generated impulse responses by programming. But I couldn't calculate confidence interval for impulse responses :( Please guide me how can I compute it. Please attention, Because of I couldn't use Eviews package for estimation of VAR, now I have only coefficient matrix and OLS estimation results, impulse response matrix and residual variance covariance matrix.

Many thanks in advance

Hello,

Is the issue that the standard error bounds weren't generated when you used the .impulse procedure?

Hello,

Is the issue that the standard error bounds weren't generated when you used the .impulse procedure?

No, since my model was an unusual model, I couldn't use the .impulse procedure. So, I generated responses manually (via Programming) and now I can't calculate standard error bounds for responses. please guide me!

very thanks in advance

There are several methods for generating the bounds. You might take a look at a (relatively) simple overview, such as http://pareto.uab.es/lgambetti/VAR_Forecasting.pdf, to see what methodology you'd prefer.

Thanks a lot for your attention