confidence intervals in montevar procedure

[calvarez]

Hi! I calculated confidence intervals for impulse responses using the montevar procedure, but how does one knows what is the confidence coefficient asociated to those calculations? If I would like to obtain 95% or 90% confidence intervals how could I change the procedure to do that? Thanks in advance!

[moderator]

This is discussed in the RATS User's Guide (at least with recent versions). For example, if you have version 7, see the "Example 13.2 Monte Carlo Integration" section (page 497).

You may also want to consider using some newer procedures that break the analysis into a couple of parts and provide more flexibility in controlling the graphing output: MCVarDoDraws and MCGraphIRF. MCVarDoDraws does the Monte Carlo draws while MCGRAPHIRF takes the output from that and generates the graphs. MCGRAPHIRF is described on pp UG-495 and UG-496 of the Version 8 User's Guide.