Thursday, November 3, 2011

VECMs, IRFs & gretl

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.