irf_bands
Generate parametric bootstrap confidence bands for VEC level impulse responses and FEVD by refitting simulated models, so response and decomposition plots show percentile intervals.
Instructions
C6 — Bands for the level responses and the FEVD of the current VEC, by PARAMETRIC BOOTSTRAP (drvec -irfboot N): N simulations of the fitted model, each REFITTED as the data were — same r, same restrictions, same ladder — and Efron's percentiles (90 % and 95 %). No delta method and no covariance Monte Carlo: the level responses are a long non-linear chain to the permanent effect, and a linearisation is what not to trust here.
A JOB, like rank_test: detached, cached by content, on drvec C when its
binary is there (the engine in the provenance); a short wait (wait
seconds), then the job id. Once finished, impulse_response,
variance_decomposition and their plots draw the bands. The bands are
conditional on r, the restrictions and the orthogonalisation order (drvec's
file order): reordering is a refit and a new job. The horizon is drvec's
(10 lags when n < 40, else 20). seed: 0 is the C's; another is a Monte
Carlo check (Python engine).
Tool call template
Replace each placeholder with a value matching the input schema. Only required parameters are included; add optional parameters as needed.
{
"id": 1,
"jsonrpc": "2.0",
"method": "tools/call",
"params": {
"arguments": {
"name": "<name>"
},
"name": "irf_bands"
}
}Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| N | No | ||
| name | Yes | ||
| seed | No | ||
| wait | No |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
| result | Yes |