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st: bootstrapped irf after vec


From   Jen Zhen <jenzhen99@gmail.com>
To   statalist@hsphsun2.harvard.edu
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
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