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Results tagged with impulse-response
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user 20995
The response of an endogenous system to an exogenous shock. This is an important topic in time-series econometrics.
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How to calculate the impulse response function of a VAR(1)? (With example)
For a VAR(1), we write the model as
$$
y_t=\Pi y_{t-1}+\epsilon_t
$$
where $y$ and $\epsilon$ are $p\times 1$ vectors. If you have more lags, the idea of extension is the same (and it is particularly …
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