# 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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13 views

### R: Column ordering and Orthogonalized Impulse Response with vars

I fail to understand how the ordering of the columns affects the Impulse Response Function (and to synchronize this understanding with the output of the excellent ...
22 views

### 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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### Analytic confidence bands for generalized impulse response function

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....
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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 ...
26 views

### Help estimating shocks in a VAR-model

I have estimated a two-dimensional VAR-model with one lag. Hence, a bivariate VAR(1) $$y_t = A_1t_{t-1} + u_t$$ I want to see the effect a positive two standard deviation shock at time $t-1$ in one ...
18 views

### 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 ...
27 views

### 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 ...
37 views

### 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 and omitted variables

I have a question regarding VAR and especially IRF. Lets say you have three variables: policy rate, long term interest rates and short term interest rates. Let's say I'm only interested in the effect ...
57 views

### 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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658 views

### FAVAR impulse responses

I am doing FAVAR analysis with two-step principal component method. I have estimated VAR including factors obtained using principal component analysis and assumption that variables can be divided to ...
552 views

### Can I use binary variables in VAR? How to interpret the IRF?

I am trying to forecast a time series based on other monthly time series variables. The variables are: endog -> number of users; exog -> marketing campaigns(in euros), Number of Updates, number of ...
737 views

### Is normality of residuals necessary for drawing conclusions from Impulse Response function

I know the issue of normality of residuals has been discussed here quite a lot, and I've learned that there are some cases in which it can be a less important hypothesis to test, while more critical ...