Diego,
The assumption is that this is a unit impulse in the IRF or OIRF
But if the variables in the VAR or VECM have different scales, you
may wish to employ a std dev instead of a unit impulse, according
to Lutkepohl.H. New Introduction to Multiple Time Series Analysis,
Springer, Chapter 2.
-Cheers,
Robert
Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University
Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
CV: http://homepages.nyu.edu/~ray1/vita.pdf
----- Original Message -----
From: Diego Navarro <[email protected]>
Date: Monday, April 6, 2009 12:38 pm
Subject: st: What size impulse in VAR/VEC irf/oirf?
To: [email protected]
> One thing I can't seem to find in any documentation -- what's the size
> of the impulse when calculating IRFs and OIRFs via <irf create,
> step(x)>? That is, what does it mean, when the first-period OIRF is
> 0.4, for example?
>
>
> --
> Diego Navarro
> FGV Projetos
> 2559-5620
>
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>
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