confidence bands for IRF's

A forum for questions and answers regarding the CATS cointegration procedure

confidence bands for IRF's

Postby mzachlod » Wed Oct 28, 2009 10:36 am

Hello,
I would like to ask how to get the confidence bands (simulated, bootstrapped) for the impulse responses for the SVECM model calculated with CATS. I am using CATS menu - Misc > Structural MA model and I am getting graphs for impulse responses of each variable for every shock, but there are no confidence bands built in.
Your help will be really appreciated.
Magda
mzachlod
 
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