Hey, 2013/3/18 Riccardo (Jack) Lucchetti <r.lucchetti(a)univpm.it>
> On Mon, 18 Mar 2013, Gabriela Nodari wrote: > > Thank you for the answer. I gave a look to the code but I fear I need >> some >> time to understand it completely. >> >> As for the Svar I know that the user can choose the number of >> replications. >> Instead, I would like to know what does gretl do when I ask to calculate >> and plot Irfs from the model window without using the Svar pack! >> >> Thank you! >> > > Both the SVAR module and the C version use the simple bootstrap for > computing the confidence intervals for IRFs, as per Runkle (1987) "Vector > Autoregression and Reality", JBES. > > I'll probably make the "bootstrap-after-bootstrap" method (Kilian 1998) > avalaible in the SVAR module soon, as an extra option. > This would be a nice feature. So far I am only aware of JMulti (Hall and Efron percentiles ) and RATS which offer different procedures. I think Eview has implemented only a standard MC-procedure. > > ------------------------------**------------------------- > Riccardo (Jack) Lucchetti > Dipartimento di Scienze Economiche e Sociali (DiSES) > > Università Politecnica delle Marche > (formerly known as Università di Ancona) > > r.lucchetti(a)univpm.it > > http://www2.econ.univpm.it/**servizi/hpp/lucchetti<http://www2.econ.univpm.it/servizi/hpp/lucchetti> > ------------------------------**------------------------- > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users > ArturHey,
2013/3/18 Riccardo (Jack) Lucchetti <[email protected]>
ArturOn Mon, 18 Mar 2013, Gabriela Nodari wrote:
Thank you for the answer. I gave a look to the code but I fear I need some
time to understand it completely.
As for the Svar I know that the user can choose the number of replications.
Instead, I would like to know what does gretl do when I ask to calculate
and plot Irfs from the model window without using the Svar pack!
Thank you!
Both the SVAR module and the C version use the simple bootstrap for computing the confidence intervals for IRFs, as per Runkle (1987) "Vector Autoregression and Reality", JBES.
I'll probably make the "bootstrap-after-bootstrap" method (Kilian 1998)
avalaible in the SVAR module soon, as an extra option.
This would be a nice feature. So far I am only aware of JMulti (Hall and Efron percentiles ) and RATS which offer different procedures. I think Eview has implemented only a standard MC-procedure.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
[email protected]
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
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