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st: VAR - Impulse response to multiple shocks with different volume
From
"Vasilev, Konstantin" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: VAR - Impulse response to multiple shocks with different volume
Date
Tue, 2 Apr 2013 11:52:52 +0000
Dear Statalist,
I already sent this question a week ago without any reply. Please tell me at least if you think this is possible with Stata or maybe I should try with Matlab?
I have estimated a VAR of 4 variables with 3 lags and then calculated the impulse response to a one standard deviation shock of one variable to another using oirf.
However, the shock that I want to simulate in fact consists of many shocks with different timing and volume.
Is it possible to implement the idea of the exact occurrence of the impulse shocks on the response variable in Stata? And if yes, how?
I have looked on the irf materials but all examples include one time shock only.
Regards,
Konstantin Vasilev
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