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Results tagged with impulse-response
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user 67799
The response of an endogenous system to an exogenous shock. This is an important topic in time-series econometrics.
2
votes
When using a VAR, if all variables are insignificant will Impulse Response Functions still m...
Yes, it still is possible with the same caveats that ought to be applied whenever we look at insignificant variables. That is, we can interpret the impulse responses, but we need to keep in mind that …
- 34.8k
7
votes
How to calculate impulse responses for a given autoregressive process?
Elaborating on Martin's answer, you will want to compare coefficients in the general AR(p) case.
First, write the AR(p) process in compact lag operator notation, using $\rho(L)=1-\rho_1L-\ldots-\rho_ …
- 34.8k
5
votes
Accepted
Is normality of residuals necessary for drawing conclusions from Impulse Response function
As @RichardHardy points out, normality of the errors is not necessary for estimated IRFs. The IRFs are functions of the estimate of the variance-covariance matrix of the residuals and of the VAR slope …
- 34.8k
4
votes
Accepted
VAR model interpretation: Coef vs Impulse response functions
Interpretability is another issue. While you are of course right that structural responses are generally of more interest, even an orthogonal impulse response generally is more useful than the estimat …
- 34.8k