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st: confidence intervals for IRFs
From
ulio Glogowsky <[email protected]>
To
[email protected]
Subject
st: confidence intervals for IRFs
Date
Wed, 19 Sep 2012 10:29:23 +0200
Dear Statalist,
I want to use the method outlined by Doan (1990) to construct
confidence intervals for an impulse response function of a VAR by
Monte Carlo integration.
To do this, I need to draw new covariance matrices from an inverse
wishart distribution. Is there a simple way to make these draws in
STATA?
Kind regards,
U.
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