question about impulse -response functions
-----Urspr?ngliche Nachricht----- Von: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] Im Auftrag von Manuel Serna Gesendet: Montag, 1. Dezember 2008 13:34 An: R-SIG-Finance at stat.math.ethz.ch Betreff: [R-SIG-Finance] question about impulse -response functions Good morning I would like to know if the impulse generated by irf is a unit of the impulse variable o standar deviation of the impulse variable.
Hello Manuel, it is a unit shock. If you want the irf in terms sd, just multiply the outcome of irf() with the standard devition of the error term. Best, Bernhard
Also, if my response variable is log GDP, the vertical axis of the plot(irf) in waht units it is measure. Thanks, Manuel Serna [[alternative HTML version deleted]]
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