error bands for impulse responses from input shocks
Posted: Fri Jul 03, 2015 9:14 am
Hi!
We created graphs of impulse responses generated from input shocks. Each of the graphs shows the accumulated responses of a given variable from simultaneous shocks to a number of variables. The impulse responses were generated by the following lines of code,
IMPULSE(MODEL=VARSTD,STEPS=20,$
shock=|| 0.0037057182,0.1247632272,0.3375260115,0.0,0.0783508817,0.0,0.0378155488,0.0,0.0||,$
results=tojoint)
graph(nodates,number=0,header="Response of Forex to Shocks in the Forex and PODs of Property Firms")
# tojoint(1,1)
We need to create error bands for these impulse responses using the code below but have not been able to do so,
@MCVARDoDraws(model=VARSTD,STEP=NSTEPS,DRAWS=1000)
@mcgraphirf(model=VARSTD,shocklabels=IMPLABEL,varlabels=IMPLABEL,PERCENTILES=||.025,.975||,PAGE=BYSHOCKS)
The above lines of code produced Cholesky shocks instead of the simultaneous shocks we used.
Any clarification would be appreciated.
Jade
We created graphs of impulse responses generated from input shocks. Each of the graphs shows the accumulated responses of a given variable from simultaneous shocks to a number of variables. The impulse responses were generated by the following lines of code,
IMPULSE(MODEL=VARSTD,STEPS=20,$
shock=|| 0.0037057182,0.1247632272,0.3375260115,0.0,0.0783508817,0.0,0.0378155488,0.0,0.0||,$
results=tojoint)
graph(nodates,number=0,header="Response of Forex to Shocks in the Forex and PODs of Property Firms")
# tojoint(1,1)
We need to create error bands for these impulse responses using the code below but have not been able to do so,
@MCVARDoDraws(model=VARSTD,STEP=NSTEPS,DRAWS=1000)
@mcgraphirf(model=VARSTD,shocklabels=IMPLABEL,varlabels=IMPLABEL,PERCENTILES=||.025,.975||,PAGE=BYSHOCKS)
The above lines of code produced Cholesky shocks instead of the simultaneous shocks we used.
Any clarification would be appreciated.
Jade