[Gretl-users] bootstrap inference on IRFs

[Stefano Fachin]

Hello, a couple of points on bootstrap confidence intervals on VAR 
impulse response functions:

 1. in the manual of the cvs 1.10.0 (december, 12) the documentation
    appears as "to be done". Given that these procedures are not
    standard (there are different ways to do them) I think that in the
    meanwhile some references should be included. Then the user can go
    and look it up by himself, as well as quoting the references
    properly in his work (btw: among many, one of the things about gretl
    that I find amazing is the quality of the documentation, something
    often boring and time-consuming to produce-thanks folks!)
 2. I assume the confidence intervals are computed according to the most
    common approach, that is pointwise. If that is the case, the "shaded
    area" option, although graphically somehow nicer, should
    supplemented with a stern warning: seeing an "area" may easily
    reinforce the common misperception of such intervals as providing a
    confidence _band_ for the entire trajectory.

bye,
Stefano


-- 
_________________________________________________________________________

Stefano Fachin
Professore Ordinario di Statistica Economica
Dip. di Scienze Statistiche
Università di Roma "La Sapienza"
P.le A. Moro 5 - 00185 Roma - Italia
Tel. +39-06-49910834
fax  +39-06-49910072
web http://stefanofachin.site.uniroma1.it/

Hello, a couple of points on bootstrap confidence intervals on VAR impulse response functions: in the manual of the cvs 1.10.0 (december, 12) the documentation appears as "to be done". Given that these procedures are not standard (there are different ways to do them) I think that in the meanwhile some references should be included. Then the user can go and look it up by himself, as well as quoting the references properly in his work (btw: among many, one of the things about gretl that I find amazing is the quality of the documentation, something often boring and time-consuming to produce-thanks folks!) I assume the confidence intervals are computed according to the most common approach, that is pointwise. If that is the case, the "shaded area" option, although graphically somehow nicer, should supplemented with a stern warning: seeing an "area" may easily reinforce the common misperception of such intervals as providing a confidence _band_ for the entire trajectory. bye, Stefano -- _________________________________________________________________________ Stefano Fachin Professore Ordinario di Statistica Economica Dip. di Scienze Statistiche Università di Roma "La Sapienza" P.le A. Moro 5 - 00185 Roma - Italia Tel. +39-06-49910834 fax +39-06-49910072 web http://stefanofachin.site.uniroma1.it/