# Questions tagged [impulse-response]

The response of an endogenous system to an exogenous shock. This is an important topic in time-series econometrics.

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### On assumptions of local projection method

It is well known that Jorda(2005) proposed the following model called local projection: $$y_{t+h} - y_{t-1} = \beta_h shock_{t} + \gamma_h ctr_{t-1} + \epsilon_{t,h}, h = 0,1,2,\dots,H.$$ I am trying ...
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### MSE of VAR impulse responses in R

I am using the vars library in R. How do I calculate the MSE of the impulse responses I generate with the irf function? The <...
50 views

### How to implement ordering for VAR impulse response functions in statsmodels (python)

I'm trying to implement an impulse response function for a VAR system. However, I'm not sure how to implement the variable ordering. Does this correspond to the order of the columns in the data frame? ...
1 vote
45 views

### Impulse response for a VECM

I have used MatLAB for calculating generalized impulse response functions (see https://se.mathworks.com/help/econ/vecm.irf.html#mw_ef2bb791-5500-4738-b2de-49df99f3a990_sep_shared-mw_85c3ba24-ff12-4a90-...
1 vote
45 views

### Impulse response function for discontinous time series

I have monthly time series on forecasts (for the months of August, September, October, November, December, and January.) The data is only available for these months and doesn't exist for other months. ...
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1 vote
46 views

### Estimating VECM with Exogenous variable

I'm currently working on a project that requires estimating a Vector Error Correction Model (VECM), potentially extending to a structural VECM, that incorporates at least one exogenous variable. The ...
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1 vote
112 views

### Selection of best VARX model using VAR() in R

I have 9 variables (all stationary) grouped into five different datasets (each set has 4 common variables and one different). How can I evaluate which is the best VARX model? I'm using ...
• 21
1 vote
55 views

### Impulse Response of a dummy Variable

I am writing a paper about electoral periods and its effect in the exchange rate. I estimated a VAR model where the electoral period dummy its included in the var. I am trying to measure the impulse ...
22 views

### In VAR model, can I include not-granger-causing variables in impulse response anaysis?

In a VAR model, I have 6 endogenous variables(X: dependent, others: independent) Having run Granger Causality test, I found that only 2 independent variables granger cause X. Can I include other 3 ...
1 vote
76 views

### Interpretation of impulse response analysis - Cholesky decomposition output in R

I am doing an impulse response analysis involving 3 time series A, B, and C in R. Following Lutkepohl approach, I used the log and diff functions to make them stationary. After creating the VAR model, ...
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1 vote
507 views

### impulse response values VAR statsmodels

I am trying to understand how the values of the irf plots are estimated I read following page: https://www.statsmodels.org/stable/vector_ar.html But I don't understand how the values of the impulse ...
• 111
549 views

### How to implement SVAR with sign restriction in R? (VARsignR removed from CRAN)

I am working on a structural VAR model for Australia in R, and I need to implement sign restrictions. Since the package VARsignR was removed from the CRAN repository on 2022-07-21, are there ...
1 vote
61 views

### VAR estimation insignificant, BUT GC and IRF significant

i have a large dataset (~3,000 datapoints, 6H interval) on Twitter and Bitcoin Data and try to estimate the effect of tweets on price changes / trading volume of Bitcoin. Therefore, i run a VAR model ...
• 11
1 vote
454 views

### why 68% bounds rather than 95%

In Impulse response graphs, I've seen some papers report 68% confidence intervals rather than 95% bounds. I guess this makes the results look more significant. But other than that, is there any ...
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1 vote
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### Comparison of different IRFs from the VAR model (meta-analysis)

In my meta-analytic research, I have collected IRFs from papers where two variables x and y are both in log-levels (these variables were entered into some VAR model in this way). In addition, I also ...
• 11
1 vote
246 views

### How can I interpret the IRFs in the VAR models?

I am new to VAR, and I got confused about how I can interpret the IRFs in my research. In fact, I am analysing if there is any interplay between Twitter, Telegram, and Instagram in Iran. I have ...
1 vote
31 views

### Incorporating impulse responses while forecasting macro variables

I am forecasting a few macro variables such as inflation rate (INF), GDP, unemployment rate (UNRATE), federal funds rate (FFR) etc. Then, I imposed a 2 % upward shock on the federal funds rate, and ...
153 views

### Interpret the impulse response when define shocks in terms of variances of the residual of the equation

I’m trying to interpret the meaning of the shocks when they are written in terms of standard errors. I have constructed a multi-country Global Projections Model similar to IMF's model here. Suppose ...
1k views

### Interpreting Impulse Response Function after first differences of logarithm transformation

I created an impulse response function from a VAR model. I used data transformed by taking the first difference of logarithms. I am now in trouble with giving a substantive interpretation of the scale ...
• 165
1k views

### How do you interpret impulse response function values?

I'm trying to figure out how to interpret the output values of an impulse response function. Consider a VAR model with 3 variables and 8 lags. The variables are, in order, gdp-gap, inflation ...
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