Hi,
I am computing impulse response functions, predicting
each step using the coefficient estimates I obtained
from a system of regression.
I want to add confidence intervals. To do so, for each
predicted value I compute I use the nlcom command that
uses the Delta method.
I am however puzzled because in each step, the
standard errors become smaller and smaller so that my
confidence intervals are become smaller and smaller
too, which does not make sense.
Could someone help me or perhaps tell me whether there
is another way of doing?
Many thanks.
Best, Alice
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