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Confidence intervals for a BVAR IRF
Posted: Tue Dec 29, 2009 9:54 am
by pcruzd
Hi I´m looking for a code to make confidence intervals for impulse response functions generated with a BVAR (Litterman's priors). I tried with the MONTEVAR.PRG procedure but it didn´t worked. Can anybody help me please?
Re: Confidence intervals for a BVAR IRF
Posted: Tue Dec 29, 2009 2:16 pm
by TomDoan
The GIBBSVAR program
http://www.estima.com/procs_perl/gibbsvar.prg
and procedure:
http://www.estima.com/procs_perl/gibbsvar.src
do the hard part of this, which is to organize the prior and draw the coefficients and covariance matrix by Gibbs sampling. Neither of those is set up to do the impulse response functions (the procedure does forecasts), but it's a fairly minor change, particularly to gibbsvar.prg, to compute and save those.