Impulse response

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Impulse response

Postby Kalec on Tue Aug 18, 2009 11:54 am

Hi

I am doing impulse response and I have encountered two problems:

1. My data are I(1) and I have done cointegration and granger causality with VECM. I wonder if I should also use VECM instead of VAR for impulse response?

2. I tried to run impulse response with VECM, but I have difficulty understanding the results, please help.

My guess was that .. the non zero figures indicate the presence of an response to the variable. and the period refers to the lag????
Please let me know if I am correct or not. I would also like to know if there is anything more I can get from the results.

Many thanks

Graph result:
ScreenHunter_01 Aug. 18 19.46.jpg
ScreenHunter_01 Aug. 18 19.46.jpg (95.8 KiB) Viewed 3005 times


Table result:
ScreenHunter_02 Aug. 18 19.52.jpg
ScreenHunter_02 Aug. 18 19.52.jpg (96.73 KiB) Viewed 3000 times


Regards

Kalec
Kalec
 
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Re: Impulse response

Postby Dthurley on Sun Sep 20, 2009 6:42 pm

The zero values on the table are interpreted as having no response to the shock.
Yes, the first column refers to the lag period.
Dthurley
 
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Re: Impulse response

Postby kabonline07 on Tue Oct 13, 2009 10:56 pm

Hi Kalec,
Did you get the answer for your question1?
I am also asking the same question.Can anybody help-any reference where it is clearly written?
Regards
Kabonline07
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