Search found 9 matches

by lillumultipass
Thu Jun 23, 2016 2:19 am
Forum: Econometric Discussions
Topic: Interpreting impulse response functions: Std dev or % ?
Replies: 21
Views: 65106

Re: Interpreting impulse response functions: Std dev or % ?

Ok, great, that's what I thought.
The 1st case is the most straightforward to interpret I would say, and I guess the reason why most people use logs in the first place.

Thanks again for taking the time to answer and for your patience ;-)
by lillumultipass
Wed Jun 22, 2016 6:34 am
Forum: Econometric Discussions
Topic: Interpreting impulse response functions: Std dev or % ?
Replies: 21
Views: 65106

Re: Interpreting impulse response functions: Std dev or % ?

Thanks again Trubador ! However, I may be a bit dense today, but am not sure I follow you when you say "response variables are log differenced, but you are interested in accumulated response which yields a similar interpretation to log level." So I took a screen capture of the 3 versions o...
by lillumultipass
Wed Jun 22, 2016 4:06 am
Forum: Econometric Discussions
Topic: Interpreting impulse response functions: Std dev or % ?
Replies: 21
Views: 65106

Re: Interpreting impulse response functions: Std dev or % ?

thanks Trubador, this is much clearer! However, I do have a few additional questions: 1. ok for that, but what about the same variable in logs (not log differenced) ? In levels? 2. I am asking this because looking at the literature on these issues (i.e., impact of uncertainty on macro variables), I ...
by lillumultipass
Tue Jun 21, 2016 12:54 am
Forum: Econometric Discussions
Topic: Interpreting impulse response functions: Std dev or % ?
Replies: 21
Views: 65106

Re: Interpreting impulse response functions: Std dev or % ?

Ok, thanks.

Meanwhile, any other answers?
by lillumultipass
Mon Jun 20, 2016 4:43 am
Forum: Econometric Discussions
Topic: Interpreting impulse response functions: Std dev or % ?
Replies: 21
Views: 65106

Re: Interpreting impulse response functions: Std dev or % ?

dakila wrote:You can use the sirf add-in. It will help you convert SD into %.


thanks for your answer. Where can I find it though? I search on th eadd in page and did not see it.
thanks!
by lillumultipass
Mon Jun 20, 2016 3:16 am
Forum: Econometric Discussions
Topic: Interpreting impulse response functions: Std dev or % ?
Replies: 21
Views: 65106

Interpreting impulse response functions: Std dev or % ?

Hi to all, I have a very basic question, but I am a bit stuck right now... I am trying to estimate different VAR models to see the impact of an uncertainty shock on macro variables (industrial production, employment...) and FX (cf attached file). My question is the following: how do I interpret the ...
by lillumultipass
Fri Feb 12, 2016 6:37 am
Forum: Add-in Support
Topic: Sign Restricted VAR
Replies: 39
Views: 99015

Re: Sign Restricted VAR

Did you read the instruction carefully? well, yes, I did, but I indeed don't really get the way the matrices are specified. Reading "To leave unrestricted set all three columns to zero" led me to put 0 0 in the first 2 columns as I did not want to put restrictions as to which periods the ...
by lillumultipass
Fri Feb 12, 2016 4:27 am
Forum: Add-in Support
Topic: Sign Restricted VAR
Replies: 39
Views: 99015

Re: Sign Restricted VAR

I think I found the solution to my problem: apparently, having the same name for the VAR and one variable was not wise :D Changing it solved everything :-) However, I get another error: sizes do not match in matrix function in "MATRIX INVAIRF_DRAW = @CHOLESKY(SIGMA_DRAW)*@TRANSPOSE(S)" It ...
by lillumultipass
Fri Feb 12, 2016 3:40 am
Forum: Add-in Support
Topic: Sign Restricted VAR
Replies: 39
Views: 99015

Re: Sign Restricted VAR

Dear sir, thank you for this add-in. I am trying to estimate a bi-variate sign-restricted SVAR with daily oil and stock prices and two shocks (demand and supply). The ultimate goal is to explain how much of the recent fall in oil prices stems from a demand shock (defined as a fall in both equity and...

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