How to plot impulse response with given confidence?

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How to plot impulse response with given confidence?

Postby mayong1982 » Wed Oct 30, 2013 2:18 pm

dear everyone,

I have a problem when using dynare.
I see that many papers illustrates the results of impulse response analysis together with 90% confidence interval (just like fig 2 in my attachment), but the dynare typically only gives out a single line (see attachment fig 1).
my question is: how to obtain impulse response figures with 90% confidence interval (just like the way of fig 2 did)? I guess there must be some command to realise this, but I have not found it when consulting "dynare user guide".
I have posted my dynare code and two figures in the attachment. my dyanre code can only give out the result like fig 1, while fig 2 is the type of impulse responses I want to have.
can someone help me solve this problem? many thanks.
Attachments
fig 2.doc
the figure type i want to have
(130 KiB) Downloaded 85 times
fig 1.doc
the default figure given by dynare
(88.5 KiB) Downloaded 84 times
aa.mod
code
(1.96 KiB) Downloaded 106 times
mayong1982
 
Posts: 26
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Re: How to plot impulse response with given confidence?

Postby jpfeifer » Wed Oct 30, 2013 2:50 pm

Confidence intervals are only possible if there is parameter uncertainty. This is not the case for calibrated models (using stoch_simul). In case you are estimating your model, Dynare will provide confidence bands (or HPDIs)
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
jpfeifer
 
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Location: Cologne, Germany

Re: How to plot impulse response with given confidence?

Postby mayong1982 » Wed Oct 30, 2013 3:34 pm

jpfeifer wrote:Confidence intervals are only possible if there is parameter uncertainty. This is not the case for calibrated models (using stoch_simul). In case you are estimating your model, Dynare will provide confidence bands (or HPDIs)



Hi, jpfeifer.
thank you very much for helping me solve this problem.
I have changed my dynare code into the estimating mode, but it gives out no impulse figures at all.
will you please help me and have a look at the dyanre code to see if there are any ommissions or errors in the code?
I have posted the dynare code and data in the attachment.
Thanks agian.
Attachments
data2013.xls
(22 KiB) Downloaded 70 times
aa.mod
(2.97 KiB) Downloaded 97 times
mayong1982
 
Posts: 26
Joined: Tue Nov 29, 2011 11:18 am

Re: How to plot impulse response with given confidence?

Postby jpfeifer » Wed Oct 30, 2013 4:22 pm

Just read the manual. You need the bayesian_irf option.
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
jpfeifer
 
Posts: 6940
Joined: Sun Feb 21, 2010 4:02 pm
Location: Cologne, Germany

Re: How to plot impulse response with given confidence?

Postby mayong1982 » Thu Oct 31, 2013 2:04 am

thank you for ur guidance. I'll check it.
mayong1982
 
Posts: 26
Joined: Tue Nov 29, 2011 11:18 am


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