How do I construct confidence intervals for the IRFs in a VEC model?

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Arthur Penserini

Hello, I am not familiar with your terminology so I may be completly off road here. However when there is no theoretical results to estimate the confidence interval we usually use monte-carlo simulations tweaking the entry parameters within their range to get an estimate of the variability of the output. Hope this helps...

Andres Palacio

Hello

Have you been able to add it? I found one solution in http://davegiles.blogspot.co.uk/2011/11/impulse-response-functions-from-vecms.html, do you work witk Stata? thanks