BVAR impulse responses
Posted: Tue Apr 24, 2012 2:32 pm
Is there any way to change the identifying restrictions for the impulse responses from the Bayesian VAR add-in? I assume at the moment they are computing non-orthogonal impulses.
Additonally, I am converting the Bayesian VAR to a model to estimate bootstrapped standard errors for the impulse responses. Seems to be working fine, hopefully I am not commiting a fatal error.
Additonally, I am converting the Bayesian VAR to a model to estimate bootstrapped standard errors for the impulse responses. Seems to be working fine, hopefully I am not commiting a fatal error.