Analytic confidence bands for generalized impulse response function

GIRF

New Member
#1
Hi everyone,
I would like to ask about the way asymptotic confidence bands for generalized impulse response functions (VAR) are calculated.
On the paper by Warne (2008) available on the following link: http://www.texlips.net/download/generalized-impulse-response.pdf, I found the formula at the top of page 6.
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I used this formula for a set of data and compared my calculation with the result obtained in eviews and it was a perfect match at period 1 (first half of the equation = 0 at this period).
But on the second period, I have not been able to successfully find the same confidence bands as eviews.
Since every element of the equation is clearly defined on the paper, except the (∂vec(C_h))/∂θ', I suspect that the mistake is related to this term. (I replaced it by the identity matrix Ip on the second period. Because according to the formula for confidence bands in Hamilton 94, chapter 11, this derivative should be equal to the identity matrix at period 2 if I have only one lag. Maybe this is wrong?)
Could you please help me with this issue?
Thank you.