Forgot to mention: I do not use the in-built Stata
command for impulse response functions because this
can only be used following var , vec or svar... as I
have a panel I was unable to use those commands...
--- aapdm <[email protected]> wrote:
> Hi,
>
> I am computing impulse response functions,
> predicting
> each step using the coefficient estimates I obtained
> from a system of regression.
>
> I want to add confidence intervals. To do so, for
> each
> predicted value I compute I use the nlcom command
> that
> uses the Delta method.
>
> I am however puzzled because in each step, the
> standard errors become smaller and smaller so that
> my
> confidence intervals are become smaller and smaller
> too, which does not make sense.
>
> Could someone help me or perhaps tell me whether
> there
> is another way of doing?
>
> Many thanks.
>
> Best, Alice
>
>
>
>
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__________________________________________________________
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*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
