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| From | Joerg Luedicke <joerg.luedicke@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: confidence intervals for IRFs |
| Date | Wed, 19 Sep 2012 10:06:58 -0500 |
It seems that the user-written package -clarify- (Gary King, see: http://econpapers.repec.org/software/bocbocode/s355501.htm) contains capabilities of drawing from inverse Wishart distributions. Have a look at the program -_simsig2-, a sub-program within -estsimp.ado- which is part of the -clarify- package. J. On Wed, Sep 19, 2012 at 8:19 AM, ulio Glogowsky <ulioglogowsky@gmail.com> wrote: > 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 > sigma sigmad) and based on sigmad and the degrees of freedom > 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 >> >> The Statalist FAQ exists to help you ask answerable questions. Please >> use that service. >> >> -- Maarten >> >> --------------------------------- >> Maarten L. Buis >> WZB >> Reichpietschufer 50 >> 10785 Berlin >> Germany >> >> http://www.maartenbuis.nl >> --------------------------------- >> * >> * 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/ > * > * 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/ * * 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/