[R] Package 'var' and standard errors for the impulse response coefficients?

Katja.Haavanlammi at bof.fi Katja.Haavanlammi at bof.fi
Tue Nov 3 13:46:30 CET 2015

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.

## 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:

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
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>


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