I have estimated a VAR using the svar command in Stata. Now I am interested
in obtaining the long run cumulative impulse response. What I have done is
to use varirf create to make a long simulation of the CIRF and looked to
where it appears to have converged.
1. Is there a way to compute the infinite sum of the impulse responses
directly?
2. If not, what sort of criteria can I use to determine the point of
convergence for the CIRF: a series of insigificant IRFs in a row? Any other
suggestions?
3. Is anyone aware of guidance in the econometric literature on the ratio
of the number of lags in the VAR to the number of iterations to compute in
the IRF?
Thanks in advance!
--Alex Cavallo
Lexecon, Inc.
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