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 Response Functions for VAR

I have a brief question for my research, which I hope someone may answer fast :-) Considering an impulse response function is a 1 standard deviation with some effect Is 2 standard deviation just the ...
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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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Impulse response function - interpretation of units

I have got an annual database with a short term interest rate in percent, a long term interest rate in percent and consumption expenditures, computed as annual growth in percent. I set up a SVAR in ...
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Is Impulse Response a Steady State concept in VAR analysis?

I am reasoning on the concept of steady state in VAR models and Impulse Response Analysis. If I have a Structural VAR model as: $y_t = \Pi_0 + \Pi_1y_{t-1} + A\varepsilon_t $ assume that the ...
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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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Paval VAR impulse response for exogen variable

Using pvargmm function in R, I am trying to estimate impulse response for the oirf function, but the oirf does impulse response only for endogen variables, ignoring the exogen variables. I need to ...
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Simplified Version of the Error Correction Model

I have to solve an exercise on Error Correction Models and cointegration, but I'm having a bit of trouble in understanding what I should do. In the previous line, we have concluded that the two ...
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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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IRF of Structural VAR equal to Standar VAR?

I´m doing a traditional Phillips curve approach with a VAR model, in particular, I used the methodology of Blanchar and Quah (1989) to obtain the structural VAR, but when comparing the IRF graph of ...
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How to compare which variable has more effect in VAR model?

I am using VAR model. I have six endogenous variable and I am using pairwise Granger causality tests to identify the causality, but I am interested also which one has biggest effect in one endogenous ...
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Impulse response of ARMA(1,1) process

I'm trying to understand how to solve this problem: I've tried computing the spectral density of Y and X in order to get the impulse response in the frequency domain. However, I get a nasty ...
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Vector error correction and impulse-response functions only when error correction terms are negative?

I have used VEC models with two variables and have estimated impulse-response functions (IRFs)from them. I am testing two theories, and each variable is the dependent variable for a corresponding ...
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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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Impulse response function of the exogenous variable in a VARX model

I am learning about VAR models "by doing", so to speak. I am using statsmodels; comparing the documentation on VAR and VARX models, I would like to ...
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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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What is the intuition behind orthogonalized Impulse-Response Funtions?

Daer All, I have a questions concerning IRFs (impulse-response-functions) in a VAR Framework. More specifically it is about orthogonalized IRFs. My general understanding is that IRFs in a bivariate ...
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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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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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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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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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