Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: bootstrapped irf after vec


From   Jen Zhen <[email protected]>
To   [email protected]
Subject   st: bootstrapped irf after vec
Date   Sat, 31 Mar 2012 17:10:26 +0200

Dear list members,

I am trying to construct bootstrapped impulse response functions and
confidence intervals after a VECM, based on Stata's "vec" command.
Bootstrapping impulse response functions is implemented as a standard
routine (irf create, bs) after the "var" command, but unfortunately
not after "vec".

How does it work to wrap Stata's bootstrapping command around two
consecutive commands: the vec and the irf create command?
Of course, I could also manually compute the A matrix from estimated
phi and gamma provided by the vec command. In this case, I would wrap
the bootstrapping around "vec" and the matrix computation.

Has anybody done something like this, could suggest a different way or
comment on my idea?

Thanks a lot in advance for your helpful ideas!
JZ
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index