Dear Gretl Community, I have a question about how Gretl calculates the VAR impulse-responses. Although Gretl says that an one-standard error shock is used in the calculations I can't confirm this, once another value for the standard error is given in the estimation results. To illustrate this I will give an example:
<script> open australia.gdt "Modelo 1" <- var 1 le lpus lpau --impulse-responses </script> The standard-error of the "Equation 1" (le) is 0.048110, but the impulse-response uses 0.046827 as the standard-error. I did the same estimation using EViews and, according to that software, 0.046827 is the standard-error with degrees of freedom correction and 0.046827 is the standard-error without degrees of freedom correction. Best, Henrique C. de Andrade Doutorando em Economia Aplicada Universidade Federal do Rio Grande do Sul www.ufrgs.br/ppgeDear Gretl Community,
I have a question about how Gretl calculates the VAR impulse-responses. Although Gretl says that an one-standard error shock is used in the calculations I can't confirm this, once another value for the standard error is given in the estimation results. To illustrate this I will give an example:
<script>
open australia.gdt
"Modelo 1" <- var 1 le lpus lpau --impulse-responses
</script>
The standard-error of the "Equation 1" (le) is 0.048110, but the impulse-response uses 0.046827 as the standard-error. I did the same estimation using EViews and, according to that software, 0.046827 is the standard-error with degrees of freedom correction and 0.046827 is the standard-error without degrees of freedom correction.
Best,
Henrique C. de Andrade
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge
