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Results tagged with impulse-response
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user 108442
The response of an endogenous system to an exogenous shock. This is an important topic in time-series econometrics.
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Interpreting VAR impulse response
In R, I have two variables, x and y, and a basic VAR model with just one lag, i.e. (as I understand it) the model basically is:
x(t) = a*x(t-1) + b*y(t-1) + c + error1
y(t) = d*x(t-1) + e*y(t-1) + f …
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