EViews: IRF in SVAR
Posted: Mon Mar 23, 2009 1:16 pm
Hello there,
I am estimating a structural VAR and trying to analyze a set of impulse response functions (using EViews 6). To this point, things are okay, but the issue that I cannot solve is including the standard error bands in the IRF charts: the option of 'Response Standard Errors' is allowed in the Impulse Responses dialog box, but the SE bands does not appear in chars! This only happens under SVAR model and not under unrestricted VAR model. Is there away to have SE bands appear in IRF charts with SVAR model (i.e. under Structural Decomposition option under Impulse Definition tab in the Impulse Responses dialog box).
Fahad
I am estimating a structural VAR and trying to analyze a set of impulse response functions (using EViews 6). To this point, things are okay, but the issue that I cannot solve is including the standard error bands in the IRF charts: the option of 'Response Standard Errors' is allowed in the Impulse Responses dialog box, but the SE bands does not appear in chars! This only happens under SVAR model and not under unrestricted VAR model. Is there away to have SE bands appear in IRF charts with SVAR model (i.e. under Structural Decomposition option under Impulse Definition tab in the Impulse Responses dialog box).
Fahad