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Results tagged with impulse-response
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user 135461
The response of an endogenous system to an exogenous shock. This is an important topic in time-series econometrics.
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Orthogonalized impulse response's contradictory forms in a VAR(p) model
I think the second method is wrong, both algebraically and conceptually. The third one is absolutely correct, while the first one presents a single mistake in the use of the Cholesky factor you report …
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