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VAR confidence intervals

Posted: Tue Sep 07, 2010 2:32 am
by ylijohtaja
Hi

When graphing the confidence intervals for impulse responses derived from a VAR model, Eviews shows the 95% bands as a default. How would it be possible to change the confidence intervals to correspond to 90%, for instance?

Thanks,

EO

Re: VAR confidence intervals

Posted: Tue Sep 07, 2010 8:59 am
by EViews Gareth

Re: VAR confidence intervals

Posted: Wed Sep 08, 2010 11:30 am
by ylijohtaja
Thank you, that was very helpful. However, I would have one further question: Is there an easy way to graph the impulse responses with some other than 95% confidence bands (in a similar manner that Eviews straightforwardly graphs the impulses with 95% intervals)? Or should one "build" the whole graph by various graph commands?
Thanks again,
EO

Re: VAR confidence intervals

Posted: Wed Sep 08, 2010 11:35 am
by EViews Gareth
You'll have to build them from the saved matrices.