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# Re: st: confidence intervals for IRFs

 From ulio Glogowsky To statalist@hsphsun2.harvard.edu Subject Re: st: confidence intervals for IRFs Date Wed, 19 Sep 2012 15:19:26 +0200

Sorry! I'm going to reformulate the problem:

I estimated a system of equations with a vector autoregressive model
for two variables y1 and y2 and one lag.
What I ultimately want to do is to construct confidence intervals for
impulse response functions of this model. One way to do this is by
Monte Carlo Integration. Doan explains in the "RATS User's Guide" how
this can be done.

When I try to write a program with the same procedure in STATA I start
by calculating the covariance matrix of the estimated system of
equations (here: "sigma" with dimension 2x2). This is not a problem.
Now the inverse of sigma is decomposed by cholesky (lets call the new
covariance matrices are drawn from an inverse Wishart Distribution.
So, in order to use the same procedure in Stata, I would also have to
draw from the inverse Wishart distribution. However I cannot find a
way to do this.

Is there a way to draw from the Wishart distribution in Stata similar
to drawnorm()?

2012/9/19 Maarten Buis <maartenlbuis@gmail.com>:
> On Wed, Sep 19, 2012 at 10:29 AM, ulio Glogowsky wrote:
>> I want to use the method outlined by Doan (1990) to construct
>
> use that service.
>
> -- Maarten
>
> ---------------------------------
> Maarten L. Buis
> WZB
> Reichpietschufer 50
> 10785 Berlin
> Germany
>
> http://www.maartenbuis.nl
> ---------------------------------
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