VAR Impulse response function confidence Interval estimation
Posted: Sun Jul 14, 2019 8:35 pm
I am attempting to create confidence interval for IRF in a VAR framework, by saving SE in monte Carlo estimation with 1000 iterations and 5 observations.
Do you have to suggest me any formula to create CI in a time series context by the use of SE ?
Do you have to suggest me any formula to create CI in a time series context by the use of SE ?