Hello everyone:
I get some problem about generlaized impulse response function and it's confidence interval.There is a VAR model of fiscal issue of goverment in my thesis,I am tring to use GIRF to explain the behavior of goverment when they has a shock on their budget,here is the question,I want to know how do I make the GIRF and simulate the model to get the GIRF's confidence interval by RATS?Can someone help me?Thanks
About GIRF and it's confidence interval
Re: About GIRF and it's confidence interval
I got it,but how to make the confidence interval of GIRF?by using simulation?or there has other ways to figure out?
Re: About GIRF and it's confidence interval
You can easily adapt the montevar procedure. This is actually described in that thread.
Make a copy of montevar.src; call it say, montegirf.src. Replace the IMPULSE instruction in it with
Make a copy of montevar.src; call it say, montegirf.src. Replace the IMPULSE instruction in it with
Code: Select all
impulse(noprint,model=model,decomp=sigmad*inv(%diag(%sqrt(%xdiag(sigmad)))),results=impulses,steps=steps)