Is anyone knows how to obtain Impulse response function with their confindence band when using stoch_sumul or estimation in dynare?
Thanks!
Samuel
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IRF with confidence bande
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IRF with confidence bande
by Samuel » Fri Jul 13, 2012 1:03 pm
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Re: IRF with confidence bande
by kyri82 » Fri Jul 13, 2012 3:26 pm
Theoretical IRFs are derived from the solution of the model, from the policy and transition functions. That is, when the model is solved each variable x is expressed as:
x = g(Y, e)
where Y is the vector of the model's state variables (pre-determined) and shock e. In a linearised model the function g(.) is linear. Thus, given the shock e you get the IRF, which is exact.
What IRFs are you talking about exactly?
x = g(Y, e)
where Y is the vector of the model's state variables (pre-determined) and shock e. In a linearised model the function g(.) is linear. Thus, given the shock e you get the IRF, which is exact.
What IRFs are you talking about exactly?
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Re: IRF with confidence bande
by Samuel » Fri Jul 13, 2012 4:07 pm
Hi, Thank you for your prompt response.
I am talking about IRF plots with their confidence bounds.
Thank you and good weekend!
Samuel.
I am talking about IRF plots with their confidence bounds.
Thank you and good weekend!
Samuel.
I commits to follow respectively all informations availables for a good usefulness of this website
- Samuel
- Posts: 5
- Joined: Tue Jul 08, 2008 4:59 pm
- Location: https://WWW.univ-tlse1.fr
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