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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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18 views

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 ...
10 views

How to interpret impulse-response functions in relation to beta and alpha coefficients?

How do I interpret impulse-response functions (IRFs) in relation to beta and alpha coefficients obtained from a Johansen cointegration test? For instance, my target (normalized) variable Y has a speed ...
18 views

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 ...
28 views

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 ...
26 views

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 ...
32 views

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 ...
7 views

orthogonal Impulse response function for VAR model

As a beginner, If I have a VAR(1) model with only two variables (means system of two equations) how can we estimate orthogonal impulse reponse function step-by-step. Is there any article or document ...
19 views

VAR obtained from vec2var() and and regular VAR giving different IRF and OIRF

I am currently trying to generate the orthogonal impulse response functions (OIRF) of a VECM with two variables. Both variables are I(1) and there is definitely a cointegration at all levels as tested ...
21 views

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 ...
20 views

Impulse Responses Generation in Vector AutoRegression in EViews

I have all the positive time series data of 6 variables. On these six variables, I have applied VAR model and want to generate impulse response functions. But impulse response functions are not ...
36 views

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 ...
152 views

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 ...
25 views

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 ...
27 views

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 ...
9 views

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 ...
53 views

566 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 ...
388 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 ...
556 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 ...
381 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 ...
122 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) ...
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 ...
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 ...
137 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 ...
239 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, ...
571 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 ...
240 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 ...
231 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 ...
549 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 ...
211 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 ...
62 views

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 ...
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_{...