The RATS Software Forum

Posted: **Mon Sep 17, 2007 11:06 am**

Is there a routine out there that computes the full covariance matrix for a set of (orthogonalized) impulse response functions?

This could be either based on asymptotics (as in Mittnik and Zadrozny, Econometrica 1993) or based on bootstrapping.

The routines I found only do confidence intervals for the impulse responses but don't report the full covariance matrix which I need.

Links to a routine or other suggestions would be greatly appreciated, thanks in advance!

Posted: **Thu Sep 20, 2007 11:44 am**

This just requires changing the "bookkeeping" part of something like MONTEVAR.

Before loop:

Code: Select all

dec vect[vect] first(nstep)
dec vect[rect] second(nstep)
ewise first(k)=%zeros(nvar**2,1)
ewise second(k)=%zeros(nvar**2,nvar**2)

Inside loop:

Code: Select all

do k=1,nstep
   ewise first(k)(i)=first(k)(i)+impulses((i-1)/nvar+1,%clock(i,nvar))
   ewise second(k)(i,j)=second(k)(i,j)+impulses((i-1)/nvar+1,%clock(i,nvar))*$
impulses((j-1)/nvar+1,%clock(j,nvar))
end do k

After loop:

Code: Select all

ewise first(k)=first(k)/ndraws
ewise second(k)=second(k)/ndraws-%outerxx(first(k))

second(k) will now have the full covariance matrix of the step k responses, packed into an nvar**2 x nvar**2 matrix.

Posted: **Thu Sep 20, 2007 1:31 pm**

This sounds like it's straightforward to do--I will try to implement it today.

Thank you very much for the response!

The RATS Software Forum

Full covariance matrix for orthogonalized impulse responses

Full covariance matrix for orthogonalized impulse responses