R help - Nov 2015 - Package 'var' and standard errors for the impulse response coefficients?

Dear R-specialists,

I'm using package 'vars' and especially irf-command for a basic
VAR-model. How can I compute standard errors for the received impulse response
coefficients? I've read that one option could be bootstrapped standard
errors but I cannot find any information how to perform that with R.

data(Canada)
## For VAR
var.2c <- VAR(Canada, p = 2, type = "const")
irf.Canada <- irf(var.2c, impulse = "e", response =
c("prod", "rw", "U"), boot = TRUE)
##Then I print the results:
print(irf.Canada)

Printing makes a list of responses and their lower and upper bounds. However,
I'd also like to have the standard errors (or bootstrapped standard errors)
for these response coefficients.
Thank you, in advance!

With best regards,

Katja Haavanlammi
Statistics Specialist

Bank of Finland
Snellmaninaukio
P.O. Box 160, 00101 Helsinki, Finland
Tel. +358 10 831 2415/ +358 50 4914 298
katja.haavanlammi at bof.fi<mailto:katja.haavanlammi at bof.fi>


www.bof.fi
www.bofbulletin.fi

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