In a comment on my post yesterday, "psummers" kindly pointed out that the free econometrics package, gretl, will also produce confidence intervals for Impulse Response Functions (IRFs) generated by a VECM.
I had an earlier post about gretl, and here is a very brief run-down on using it to produce those VECM-IRF confidence intervals.
After starting up the package, I selected "File" / "Open Data" / "Sample File", and chose Johansen's Danish macroeconomic data:
As you can see, I chose all 4 of the variables as "endogenous", so I'll have a 4-equation VECM:
Then I chose "Analysis" / "Impulse Responses":
Then, here's the crucial bit - to get the confidence intervals for the IRF's I chose "Graphs" / "Response of LRM to LRY" (for example), and checked the "include bootstrap confidence interval" box:
I like this even more than JMulTi! Thanks again, "psummers".
And isn't this a terrific example of two packages that are free, providing us with results that we can't get from a commercial package, such as EViews?
p.s.: "Ben" please note - there's no "-0.0" label on the vertical axis of the last graph!
© 2011, David E. Giles