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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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Removing Influence of Other Time Series in Multivariate TS Analysis

I have some non-periodic time series that are all correlated. In the absence of the others, each time series would consist of a set of responses to events. I don't know the duration or shape of each ...
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Orthogonalised Impulse Response Functions in Stata

This might be a really basic question for some of you but I have been looking up how to interpret impulse responses but most of the answers that were presented did not quantify the responses but ...
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Impulse response function from dlmMLE estimates

Is there an alternative to the irf() function in R, which can be manually specified? I have estimated parameters of a state-space model via ...
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46 views

Impulse response function for MIDAS regression

Consider a MIDAS regression with a single high-frequency regressor $x_{t/m}$ that is observed $m$ times for every observatoin of a low-frequency regressand $y_t$: $$y_t= \sum_{i=1}^p \alpha_i y_{t-i}+...
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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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396 views

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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29 views

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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205 views

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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Impulse response for general VAR lag-p model: when does it converge?

Consider the VAR lag-p model: $$Bx_t = \Gamma_0 + \sum_{i=1}^p\Gamma_i x_{t-i} + \epsilon_t,\quad x_t\in\Bbb R^n,\,\forall t\in\Bbb Z$$ Setting $B$ to be upper-triangular and $A_0:=B^{-1}\Gamma_0,\,...
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132 views

Direction of orthogonalization in the `vars` package in R

I could not find anything in the documentation of this package R vignette of vars package or anywhere else on the internet. In case one estimates orthogonalized impulse response functions, the ...
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165 views

Interpreting Accumulated Impulse Response graphs for SVAR Models

I am doing a study similar to this one using Eviews 10 https://researchportal.port.ac.uk/portal/files/189238/Economic_Modelling_GF.pdf except with updated data just for the UK. I have produced ...
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367 views

Can I use a VAR in first differences despite having co-integrated data?

I have two variables. Both are I(1), so non-stationary in levels but stationary in first differences. However, having run some tests, I find that both are co-integrated. Based on my statistics ...
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Modelling different types of responses to a series of drug concentrations

I have been performing dose response experiments on cancer and control patients for cell counts, apoptosis (flow cytometry DAPI-AnnexinV staining), intracellular protein staining on flow cytometry and ...
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88 views

Fluctuation in Impulse Responses

I try to set up a basic first differences VAR_Model: when I plot the IRF it looks like this: The fluctuation seems suspiciously wrong to me. Of course, the coefficients in my model also change the ...
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45 views

About modelling transient effect on time series

I'm working on a time series model which predicts daily sales. Below is a simplified depiction of the time series I'm trying to model. It is a stationary series and it takes certain 'shock'(drastic ...
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143 views

Insignificant impulse response function

Hi I'm doing a research on monetary policy transmission mechanism. I used a Structural Vector Auto regression model. However the confidence interval of my impulse response function suggest that the ...
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56 views

What is an alternative to Toda Yamamoto for impulse response analysis with non-stationary and cointegrated variables?

I am interested in impulse response analysis, variance decomposition and granger causality in a VAR framework. However, my variables exhibit cointegration of order 2 as well as integration of the form ...
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How can I introduce positive and/or negative shocks to EGARCH ADCC model in R? [closed]

I have used R rmgarch package to implement EGARCH ADCC model from which I can extract conditional covariance matrix. Now I would like to introduce positive and/or ...
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Interpretation of Impulse Response and Variance Decomposition Graphs

I am finding it difficult to interpret the following Impulse response and variance decomposition graphs-basically studying the effect of currencies on each other(I know the results from the Granger ...
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Transform the sd of slope into that of the corresponding elasticity - for impulse response function estimates

As the title implies, I want to transform the sd of slope into the sd of the corresponding elasticity, particularly, in the context of impulse response function in VAR model. Some background ...
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46 views

Looking for techniques to understand the impact of a discrete events (interventions) on a continuous response variable in time series

I am trying to model the effect of one or more discrete interventions (e.g., taking a pill, attending therapy) on a continuous outcome (e.g., pain level of a patient over time). The features are ...
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2k views

How to explain and interpret impulse response function (for timeseries)?

I am wondering how impulse response captures information differently than other statistical techniques such as cross_correlation? To elaborate on what I mean, I will describe an example I encountered. ...
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376 views

SVAR and Impulse Response function

i cannot figure the difference between a VAR (vector autoregressive) and the Structural VAR (SVAR). Beside the math, I would like to have a simple explanation of how the SVAR differs from the VAR. ...
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533 views

Cholesky Shock - Interpretation of logs in IRF Models

I came across a few articles here and there that conclude: When the data (say variables X, Y) for an impulse response function are on log level, the y-axis depicts the % response of Y to a 1% shock ...
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Calculating orthogonalized impulse response functions for vector error corrrection models

Background: I am working on orthogonal impuls response functions (OIRFs) for vector error correction models (VECMs). Its an exercise to develop understanding. I am given a bivariate VECM: $$ \Delta ...
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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 ...
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1answer
297 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 ...
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444 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 ...
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348 views

IRF function with several exogenous covarites (SVAR model)

How to interpret an IRF function with exogenous covariates. Example: Small open economy which I control for foreign variables (Endogenous variables cannot influence the exogenous variables). The ...
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118 views

Extension to IRF functions for Cointegrated VAR model?

I have question relating to how to interpret an Impulse response function in a system of 5 endogenous non-stationary variables (GDP, Investment, Uncertainty index, Interest rate and inflation rate) ...
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42 views

Appropriate technique to extract the response function of a time series to two (or more) irregularly recurring stimuli

Say I poll a teenager every day about his overall happiness. Perhaps this has some long term trend, perhaps it has some short term trend. For sure, it is a noisy variable. Over the relevant time ...
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1answer
2k views

Standard deviation in impulse response function and significance of IRF

I have a VAR model and at this moment I'm using Gretl software. Gretl computes shock of IRF as one standard deviation and I saw that in many papers it is interpreted this way either. But I don't ...
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117 views

When using a VAR, if all variables are insignificant will Impulse Response Functions still make sense?

I have implemented a VAR in Eviews using log first differenced time series data for four stock market indices and the Baltic dry index. The model had autocorrelation when the VAR was calculated on one ...
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188 views

VAR with 12 lags and irf function

My VAR-model contains 8 variables and 12 lags (lags determined by the information criteria), and the frequency of the variables is monthly (140 observations). When i am analyzing the irf function, ...
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490 views

Impulse response for cointegrated variables

I know that VAR should be employed only with stationary series. Is the same condition required for analysing impulse response? That is, should the impulse response be analysed on stationary variables ...
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205 views

IRF or CIRF after VAR with variables change of growth rates

I am analyzing the results of my VAR model, where the original non-stationary variables are presented as growth rates, and after differentiation they are interpreted as change of growth rates and used ...
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201 views

Defend autocorrelation in VAR model

I am creating an unrestricted VAR model with 9 variables and 12 lags (determined by LR, FPE and AIC, and is in line with theory). But the model still has some autocorrelation - the p-values of some of ...
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496 views

Test for impulse response with vector autoregression in R

I did a lot of VAR modeling in R using the VAR functions, then, I wanted to do impulse response testing. My professor used the SVAR function, which I understand is for structured vector ...
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179 views

Impulse Response for Single Equation model

Can an impulse response be generated for a single equation model? For instance, can an impulse response be generated for an AR(p), and ARDL, or MS(m)-AR(p) models. I have seen the following link, but ...
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Procedure for Bjørnland & Leitemo (2009) methodology in R

I've been looking for a solution in R to estimate a structural VAR with long and short run restrictions as done in Bjørnland & Leitemo (2009), where they ...
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Do shocks to regime dependent impulse responses eventually return to 0 for a MS-VAR?

In VARs, the impulse response function reverts to 0. This indicates that the effect of the shock dies out. I have seen in VECMs (vector error correction models) that the impulse response functions (...
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527 views

Comparing Impulse Response Functions

I am estimating a structural VAR Model in levels with $p=3$ and plot orthogonalised impulse response functions. A structural VAR with p lags (sometimes abbreviated SVAR) is $B_0 y_t = c_0 + B_1 y_{...
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3k views

Interpretating IRF correctly

We have following Impulse Response Function: ...
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906 views

Restricted VAR model

I'm trying to estimate macroeconomic VAR model in R using package vars. Since I need to omit simultaneously all coefficients ...
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253 views

Does it make sense to plot impulse response functions for insignificant variables in Granger-causality tests?

I have 4 endogenous variables: call them w, x, y, and z. I am interested in the reduced form VAR where w is the dependent variable. Having run Granger tests, I found that only x and y Granger-cause w ...
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170 views

Difference in Impulse Responses - Bayesian analysis

I have estimated a time-varying parameter vector auto-regressive model (TVP-VAR) as in Primiceri. (2005). Time Varying Structural Vector Autoregressions and Monetary Policy. I then proceed to compute ...
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34 views

Test for heteroscedasticity in multivariate time series application with economic variables

I want to test for heteroscedasticity in multivariate time series modelling for economic variables (at most 3). Which tests are the best and suitable for this modelling?
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401 views

Granger-causality and impulse response functions yield conflicting results

I have a VAR model with two sets of variables, X and Y. Granger causality tests say that X granger causes Y but not the other way around. However, the impulse response functions suggest that the ...
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Why Are Impulse Responses in VECM Permanent?

The usual interpretation of impulse response functions in standard vector autoregression (VAR) models is that they represent the response of a variable, say $y_t$, to a shock of one standard deviation ...