Am 21.11.2019 um 14:12 schrieb Riccardo (Jack) Lucchetti:
On Thu, 21 Nov 2019, Stefano wrote:
dear all, one question and one comment on the bootstrap confidence
intervals of VAR IRF's:
* is there some documentation around? in the 2019c "Guide" it is still
listed as "todo". I think the number of redrawings should documented
somewhere in the output.
You're right; nevertheless lib/src/var.c in the comment on line 1734
says: "based on 999 bootstrap replications". And in lib/src/irfboot.c
in line 33 this is specified: "# define BOOT_ITERS 999".
Do you think it would help to paste this information in the relevant
section of the guide, even if the rest stays empty/todo? Apart from the
fact that nowadays it might be reasonable to increase the default
somewhat. Perhaps it could be user settable via a new 'set' option.
* it would be nice to have the number of redrawings controlled by the
user: serious work need large numbers not needed in expoloratoy work.
I guess your best bet is to use the SVAR package: it's much more
flexible and documentation should hopefully be more detailed.
jack is right of course ;-)
cheers
sven
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucche...@univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
_______________________________________________
Gretl-users mailing list -- gretl-users@gretlml.univpm.it
To unsubscribe send an email to gretl-users-le...@gretlml.univpm.it
Website:
https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/
_______________________________________________
Gretl-users mailing list -- gretl-users@gretlml.univpm.it
To unsubscribe send an email to gretl-users-le...@gretlml.univpm.it
Website:
https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/
