This sounds like it's straightforward to do--I will try to implement it today.
Thank you very much for the response!
Search found 2 matches
- Thu Sep 20, 2007 1:31 pm
- Forum: VARs (Vector Autoregression Models)
- Topic: Full covariance matrix for orthogonalized impulse responses
- Replies: 2
- Views: 10221
- Mon Sep 17, 2007 11:06 am
- Forum: VARs (Vector Autoregression Models)
- Topic: Full covariance matrix for orthogonalized impulse responses
- Replies: 2
- Views: 10221
Full covariance matrix for orthogonalized impulse responses
Is there a routine out there that computes the full covariance matrix for a set of (orthogonalized) impulse response functions? This could be either based on asymptotics (as in Mittnik and Zadrozny, Econometrica 1993) or based on bootstrapping. The routines I found only do confidence intervals for t...