BOOTVECM—Parametric bootstrapping of VECM
Posted: Tue Apr 23, 2024 8:54 am
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.
Detailed description
Detailed description