Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library:
See also: impres plotir

Macro: ciirboot
Description: Computes two sided bootstrap confidence intervals for impulse responses for a K-dimensional VAR(p) by resampling the estimated residuals. The confidence intervals are computed using Halls (1993 ???) and Efrons (1992 ???) methodology.

Usage: {elo,eup,hlo,hup} = ciirboot(ahat,uhat,y0,irmax,alpha,nob)
Input:
ahat estimated model parameters
uhat estimated residuals
y0 starting values
irmax maximum lead for impulse response analysis
alpha significance level for confidence intervals
nob number of replications for estimating the bootstrap distribution
Output:
elo lower bounds of "Efron's" confidence intervalls
eup upper bounds of "Efron's" confidence intervalls
hlo lower bounds of "Hall's" confidence intervalls
hup upper bounds of "Hall's" confidence intervalls

Library:
See also: impres plotir

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Benkwitz 980127
(C) MD*TECH Method and Data Technologies, 28.6.1999