Questions tagged [impulse-response]
The response of an endogenous system to an exogenous shock. This is an important topic in time-series econometrics.
116
questions
0
votes
0
answers
19
views
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 ...
- 125
0
votes
0
answers
21
views
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 <...
0
votes
0
answers
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
0
answers
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-...
- 21
1
vote
0
answers
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. ...
- 11
1
vote
0
answers
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 ...
- 11
1
vote
1
answer
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
0
answers
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 ...
- 11
0
votes
1
answer
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
1
vote
1
answer
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, ...
- 11
1
vote
0
answers
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
2
votes
0
answers
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 ...
- 21
1
vote
0
answers
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
1
answer
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 ...
- 21
1
vote
0
answers
35
views
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
0
answers
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
0
answers
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 ...
- 11
0
votes
1
answer
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 ...
3
votes
1
answer
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
0
votes
0
answers
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 ...
- 177
0
votes
0
answers
25
views
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(...
- 1,335
0
votes
1
answer
1k
views
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 ...
2
votes
0
answers
157
views
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 ...
- 540
0
votes
1
answer
188
views
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 (Linear Time Invariant)?
...
user331219
2
votes
0
answers
756
views
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 ...
- 540
0
votes
1
answer
342
views
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 ...
- 13
1
vote
0
answers
99
views
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 ...
- 11
0
votes
0
answers
124
views
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 ...
0
votes
0
answers
51
views
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 ...
- 1
2
votes
0
answers
216
views
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 ...
- 21
4
votes
1
answer
2k
views
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 ...
- 165
1
vote
0
answers
271
views
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 ...
2
votes
0
answers
84
views
Why are Bayesian impulse response functions smooth?
Simple VAR IRFs are jagged, but every Bayesian IRF I've seen is very smooth. What's the intuitive reason for this?
- 21
0
votes
0
answers
44
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 ...
1
vote
0
answers
253
views
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 ...
- 143
0
votes
0
answers
37
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 ...
- 457
1
vote
0
answers
173
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 ...
- 157
0
votes
0
answers
186
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. ...
0
votes
1
answer
895
views
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 ...
- 1
2
votes
0
answers
41
views
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 ...
- 157
1
vote
0
answers
50
views
Using ARMAIRF in matlab
Using Matlab's [beta,Sigma,E,CovB,logL] = mvregress function, I have conducted an OLS for two models:
...
- 11
2
votes
0
answers
220
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 ...
- 21
0
votes
0
answers
64
views
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 ...
1
vote
0
answers
618
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 ...
- 79
1
vote
2
answers
325
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 ...
- 79
0
votes
0
answers
272
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 ...
- 79
1
vote
0
answers
242
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 ...
- 79
1
vote
0
answers
404
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 ...
- 542
0
votes
1
answer
89
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 ...
- 1
1
vote
0
answers
245
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 ...
- 13