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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Impulse responses for panel ARDL model in R
I have a panel data and I try to fit a panel ARDL model in R, which is the regression of the dependent variable to the lag of dependent variable, the lags of independent variable and the fixed effects....
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Generalised Impulse response functions (GIRF) for VGAMs (vector GAM) in R
I have 2 variables as time series. I'd like to build semi-parametric VAR within GAM framework (some predictors as smoothing functions), then analyse GIRF from Koop, Pesaran and Potter (1996) (...
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IRF function in VAR model looks incorrect
Unfortunalty I did not find a answer to my specific question, so i count for your help. Please have a look at my response plot
I used the following code:
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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 ...
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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 ...
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Impulse response function interpretation
I am working on a time-series dataset. Where I am running a VAR model and doing an impulse response analysis, I obtain the impulse response for the shock to the dependent variable, and impulse ...
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Extracting Impulse Responses and Forecast Error Variance Decomposition for custom statespace model
Suppose I've created a custom state space model whose state transition equation is a VAR-type model. To illustrate, consider the following system, taken from the ...
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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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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 ...
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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 ...
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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 ...
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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 ...
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Impulse-response interpretation
I have these GDP impulse-response graphs considering real GDP (rate of variation in the graphs), public (rate of varation as the second diff Government Debt) and private debt (rate of variation as the ...
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When and how to "destandardize" the variables in the FA(VAR) model?
I am estimating a FAVAR model, where I estimated the factors using principal component analysis (PCA). Prior to PCA I standardized the series, however I would like to destandardize them for my impulse ...
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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 ...
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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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Prove linearity of impulse response model
Given the following time varying model:
$Z(t) = \alpha*t*Z(t-1)$,
how do I go about proving linearity? If you simplify based on some constant at Z(0), you get the general solution $ Z(t) = \alpha^tt!Z(...
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Identifying positive and negative shocks in impulse responses
Dear StackExchange community,
I'd have a question on impulse responses that I have not found an answer to in econometrics textbooks. Specifically, I would want to know how to interpret impulse ...
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Quantifying the significance of impulse response functions
I use Stock and Watson's classic reference on vector autoregressions for this question. They carry out a VAR on inflation, unemployment and the interest rate and thereby produce the following matrix ...
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ARMA process and Impulse response
I need to solve the following problem and I don't know where to look for relevant information.
Does anyone have a good source when ARMA processes are input/output to and LTI?
Or perhaps some initial ...
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What units are the cumulative response functions of a VAR measured in, and why does orthogonalisation appear to change the scale?
There are quite a few questions on this site regarding the interpretation of the impulse-response-function plots of a VAR, but none answer my query directly.
I will attempt to be as concrete as ...
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IRF for VAR GARCH (Impulse Response Function)
When there is ARCH effects on VAR residuals $\varepsilon_t$, we can use a GARCH model to remove them : $\zeta_t = \Sigma_{t|t-1}^{-\frac{1}{2}} \varepsilon_t$.
Following [Lutkepohl, New Introduction ...
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SVAR, seasonality adjustment and impulse response functions
My question might be slightly dumb, however I could not find out which choice would be better.
I am trying to construct a SVAR model including the french inflation rate, the unemployment rate and the ...
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How to derive NW standard errors for impulse responses from lpirfs package in R or calculate them?
In my thesis, I have to derive impulse responses with IV using 2sls. I use the package in R "lpirfs" and specifically the lp_lin_iv function. My results have F stat and P-value. But I want ...
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Interpreting Impulse Response Function
I am trying to estimate a forward guidance shock on the expected path of the future federal funds rates and industrial production of manufacturing and construction. I built my SVAR model using Smith ...
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How do I transform first-differenced impulse response functions back into levels?
I am estimating a structural VAR where all my variables are I(1). I took the log differences of each variable and generated the impulse response functions. Is there a way to convert the impulse ...
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How to assess the impact of an exogenous on endogenous variables in VAR
I fitted a VAR model that includes an exogenous variable, and I am interested in assessing the impact of the exogenous variable on the endogenous variable.
As far as I know, IRFs (impulse response ...
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VECM - Impulse reponse function - statsmodels - AttributeError: 'lr_effects'
I am using statsmodels version '0.11.1'. I am trying to sum cumulative effects of using the impulse response function derived of a VECM, but I am getting an AttributeError regarding 'lr_effects'. As ...
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Different way to obtain Cointegration Impulse response
If my memory is correct, we can obtain the impulse response function (irf) with bivariate VECM .
However, I read some researcher just difference the variables under the pre-specified relation.
For ...
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Time series - measure impact of another time series variable
I am looking for some techniques that would help me measure the (over-time) impact of a variable to another.
So let's say we have annual time series data for GDP for 5 countries and I wanted to see ...
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VAR IRF for GPD with all GDP components
My question is twofold (hope it's ok).
I want to estimate VAR model with the sole purpose of analysing the impulse response functions. I want to analyse the response of GDP to shock in exports and ...
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Why impulse responses are so weird in this exercise?
I ran my VAR model with inflation, real gdp, a proxy for fiscal policy and a policy indicator. I used the function externalinstrument in R and followed this ...
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Cointegrated VAR impulse response function
I have two variables Consumption(c) and Earning(e).
According to the thesis,
c and e are cointegrated. So the author differences to two variables to be Diff_C and ct-et and get the stationary part. ...
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How to get Impulse Response Function for non stationary data
I am currently working on a model where I am trying to compute the response of macroeconomic variables like gdp and CPI as well as Gini Koefficient to monetary policy shocks. My problem now is I have ...
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How to build confidence intervals and how to decide how many n-ahead periods in VAR?
I am fitting my VAR model and I have a few questions about it.
It is better to explain my doubts with a concrete example (the code is produced using R). The dataset is monthly data on a variety of ...
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Using ARMAIRF in matlab
Using Matlab's [beta,Sigma,E,CovB,logL] = mvregress function, I have conducted an OLS for two models:
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Impulse response functions in VAR & VEC models
Im using VAR & VEC IRFs to estimate price elasticity (estimate change in demand for a 1 unit 'shock' to price) and Id like to compare results from both VAR & VEC models, where appropriate. Im ...
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Econometrics: Creating Impulse Response Functions
I am currently busy studying asymmetric price transmission in the global stainless steel value chain.
I have not been able to replicate the impulse response functions that are shown below.
I am more ...
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VECM Impulse Response Function: Interpretation of Results
I estimated a VECM and generated Generalised Impulse Response Functions based on Johansen Cointegration.
Below is an output of two response variables to a shock in GDP. My issue is, I have strong ...
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Deseasonalize data AND deflate with CPI?
I have property return variables and economic variables that I am using in a VECM/VAR to generate Impulse Response Functions. I have deflated my data with CPI, but do I also have to deseasonalize the ...
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Impulse Response Functions R: Transitory Shocks for Non-Stationary Data
I am working on generating Impulse Response Functions via the VECM and VAR models, an hence have data that is non-stationary in levels, stationary in first differences and cointegrated. My IRFs ...
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VECM and Impulse Response Functions in R: Trend and Stationarity [duplicate]
I am looking to ultimately generate Impulse Response Functions and plotting them for a set of variables. These variables are all non-stationary in levels when a lag order of 5 is selected. They are ...
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Impulse responses - Mean, Median or Point estimate?
Im thinking about what is the most reasonable way to plot impulse responses in a simple OLS VAR model independent of the identification strategy.
${Y}_t = A_1{Y}_{t-1}+ U_t$
I have learned that the ...
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Generalized Impulse responses VAR(2)
I have a VAR(2) model:
$\textbf{y}_t=\textbf{A}_1\textbf{y}_{t-1}+\textbf{A}_2\textbf{y}_{t-2}+\textbf{u}_t$
where $\textbf{y}_t$ is a 2x1 vector, $\textbf{A}_1, \textbf{A}_2$ are two 2x2 matrices ...
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How to interpret impulse response analysis in VAR when using standardized variables?
How to interpret impulse response analysis when using standardized variables (ie., subtracting the mean and divide by standard deviation) in vector autoregression analysis? The reason why I ...
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The theory behind fitting an ARIMAX model
I'm very familiar with the theoretical underpinnings of ARIMA/SARIMA models but I've been struggling to understand the theory behind fitting an ARIMAX model. I'm not looking for a practical ...
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Correcting for ARCH effect in VAR and impulse response results
I find significant ARCH effect in my series when running a VAR analysis
$Y_t=(y_{1,t};y_{2,t};y_{3,t};y_{4,t};y_{5,t})^\top$
I have two questions:
Does the ARCH effect impact the impulse response ...
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Interpretation of the Impulse Response Function - VAR Estimation
I have some issues while discussing and interpreting this impulse response function (the graphics analysis). What do they mean and represent economically? What can the conclusions be?
Basically ...
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Cointegration: comparing IRF for the univariate ECT, versus for the multivariate VECM?
Assume we have $k$ I(1) variables, cointegrated of rank $r = 1$.
By cointegration, I know that the error-correction term (ECT) is itself a I(0) univariate process. Assume now I am interested in the ...
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Impulse response: Interpreting shock and response for log-variables
I have a question related to the interpretation of Impulse Response Function (IRF) functions. Assume we do have two time-series that have been both log-transformed and are stationary. When applying a ...
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