Dear Tom
I ran and ARMA(6,1) model and I was able to get the IRF using the impulse command. Could you please help me telling me how I can compute the IRF confidence bands? And also how to get a accumulated IRF plus their confidence bands for the same model? Many thanks
Search found 2 matches
- Thu Feb 09, 2012 3:13 pm
- Forum: Other Time Series Analysis
- Topic: IRF from the univariate model
- Replies: 8
- Views: 15944
- Tue Jul 14, 2009 4:56 pm
- Forum: VARs (Vector Autoregression Models)
- Topic: FAVAR
- Replies: 0
- Views: 5021
FAVAR
Hi at the end of the year I will have a course on FAVAR at the Bank of England, In the mean time, is there any prg or src to deal with these kind of models.
Thanks
Thanks