One thing I would really like to see in a future
release is the ability to save the entire bootstrapped
distribution (or at least for multiple coverage levels)
for VAR and SVAR impulse responses. At present, if you
want to generate a fan chart for your impulse responses
like the Bank of England publish in their inflation
report, you have to regenerate the bootstrap for each
confidence level. With a large SVAR system this can
take an enormous amount of time which seems a pity when
you are generating the same numbers over and over again.
I have had a look in the system control and cannot find
anyway of getting the distribution from there. I have
attached a fan chart from the inflation report so that
you get a clear idea of what I mean...
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