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dec vect[seires] GIRFall(ndraws) 
do time =istart, iend 
ewise GIRFall(i) = GIRF(ndraws)(1)(5,1) (time+1-istart)
compute  ff=%fractiles( GIRFall, || 0.16, 0.5, 0.84|| )
compute lower(t) = ff(1)
compute upper(t)= ff(3)
compute median(t) = ff(2)
end do time

Code: Select all

infobox(action=define,lower=1,upper=nrep,progress) "Bootstrapping Across Initial Values"
do jrep=1,nrep
   infobox(current=jrep)
   *
   * Copy observed data into depvar slots
   *
   compute basedate=rdates(jrep)
   do i=1,nvar
      set depvars(i) wstart-maxlag wstart-1 = data(i)(t-wstart+basedate)
   end do i
   *
   * Loop over bootstrap replications
   *
   do krep=1,nkrep
      *
      * Generate the bootstrap shuffle
      *
      boot rentries wstart wend rstart rend
      *
      * Generate the base set of shocks by premultiplying the
      * bootstrapped standardized shocks by the factor of the overall
      * covariance matrix.
      *
      gset bootuv wstart wend  = %if(%ranflip(.5),+1,-1)*stdu(rentries(t))
      *
      gset bootres wstart wend = bootuv
      *
      forecast(model=tvar,from=wstart,to=wend,results=base)
      compute ifill=0
      dofor sign = 1 -1
         dofor size = 1 2
            compute ifill=ifill+1
            do jshock=1,nvar
               *
               * Patch over the component for which are computing the
               * response with the selected size and sign.
               *
               compute bootres(wstart)=bootuv(wstart)
               compute bootres(wstart)(jshock)=sign*size
               *
               forecast(model=tvar,from=wstart,to=wend,results=withshock)
               do i=1,nvar
                  [color=#0000FF]set girfs(ifill)(i,jshock) wstart wend = girfs(ifill)(i,jshock)+withshock(i)-base(i)[/color]
               end do i
            end do jshock
         end do sign
      end do size
   end do krep
end do jrep
infobox(action=remove)

Code: Select all

* Set up target series. There is one for each combination of test sign
* and sizes on the shock, variable shocked and target variable.
*
*declare real size sign
*compute nexp=%size(shocksizes)*%size(shocksigns)
*display nexp 
compute ndraws=100
dec vect[rect[series]] girfsall(ndraws)
do draw=1,ndraws
   dim girfsall(draw)(nvar,nvar)
   set girfsall(draw)(i,j) = 0.0 
end do i

compute wstart=rstart, wend=rstart+horizon-1

infobox(action=define,lower=1,upper=ndraws,progress) "Bootstrapping Across Initial Values"

do jrep =1,nrep
   infobox(current=jrep)  

   compute basedate = rdates(jrep) 
   do i=1, nvar
   set depvars(i) wstart-maxlag wstart-1 =data(i)(t-wstart+basedate) 
   end do i 
     
    * Loop over bootstrap replications
    * 
      do krep=1, nkrep
        *Generate the bootstrap shuffle 

          boot rentries wstart wend rstart rend

        *Generate the base set of shocks by premultiplying the bootstrapped 
        *standardized shocks by the factor of the overall coveriance. 
            
         gset bootuv wstart wend  = %if(%ranflip(.5),+1,-1)*stdu(rentries(t))
         gset bootres wstart wend = bootuv
         forecast(model=tvar,from=wstart,to=wend,results=base) 
        
         do jshock=1,nvar
            compute bootres(wstart)=bootuv(wstart)
            [color=#0000FF]compute bootres(wstart)(jshock)=1[/color]
         forecast(model=tvar,from=wstart,to=wend,results=withshock)
          do i=1,nvar
           set girfsall(krep)(i,jshock) wstart wend = girfsall(krep)(i,jshock)+withshock(i)-base(i)
          end do i
         end do jshock
  end do krep 
end do jrep 
infobox(action=remove)