Dear R-specialists,
I'm using package 'vars' and especially irf-command for a basic VAR-model. How
can I compute standard errors for the received impulse response coefficients?
I've read that one option could be bootstrapped standard errors but I cannot
find any information how to perform that with R.
data(Canada)
## For VAR
var.2c <- VAR(Canada, p = 2, type = "const")
irf.Canada <- irf(var.2c, impulse = "e", response = c("prod", "rw", "U"), boot
= TRUE)
##Then I print the results:
print(irf.Canada)
Printing makes a list of responses and their lower and upper bounds. However,
I'd also like to have the standard errors (or bootstrapped standard errors) for
these response coefficients.
Thank you, in advance!
With best regards,
Katja Haavanlammi
Statistics Specialist
Bank of Finland
Snellmaninaukio
P.O. Box 160, 00101 Helsinki, Finland
Tel. +358 10 831 2415/ +358 50 4914 298
katja.haavanla...@bof.fi<mailto:katja.haavanla...@bof.fi>
www.bof.fi
www.bofbulletin.fi
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