BOOTVECM—Parametric bootstrapping of VECM

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TomDoan
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Joined: Wed Nov 01, 2006 4:36 pm

BOOTVECM—Parametric bootstrapping of VECM

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bootvecm.rpf does a parametric bootstrap (to get error bands for an IRF) of a VECM with known cointegrating vector. The model used (and the data set) is from King, Plosser, Stock and Watson(1991), "Stochastic Trends and Economic Fluctuations", AER, vol 81, pp 819-840. As in that paper, it analyzes the responses to a "balanced growth" shock.

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Last bumped by TomDoan on Tue Apr 23, 2024 8:54 am.
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