Re: Interpreting impulse response functions: Std dev or % ?
Posted: Mon Jul 23, 2018 8:31 am
Hi,
Appologies in advance if my question are very basic, however, i would highly appriciate your feedback.
I am estimating a VAR with Choleski approach. My variables are Bond Yields, Interest Rates on Loan, Investments (growth rates) and GDP growth rates. After i run a VAR and interpreting the IRF i want to have instead of STD the shock to be in %.
1. When STD is used, can i say that one STD is equal to 1% of the dependent variable (in my case Bond Yields)?
2. When using SIRF add-in, what should i include in Impulse variable dialogue box? After i try many option, i get "0 is not a valid index for vector-series-coefficient FAC_DIAG18.
Also, if i am interested only in variable relationships, can i ignor alltogeather the interpretation of coefficents - irespective of their definition in levels of log-levels?
Many thanks,
Tareb
Appologies in advance if my question are very basic, however, i would highly appriciate your feedback.
I am estimating a VAR with Choleski approach. My variables are Bond Yields, Interest Rates on Loan, Investments (growth rates) and GDP growth rates. After i run a VAR and interpreting the IRF i want to have instead of STD the shock to be in %.
1. When STD is used, can i say that one STD is equal to 1% of the dependent variable (in my case Bond Yields)?
2. When using SIRF add-in, what should i include in Impulse variable dialogue box? After i try many option, i get "0 is not a valid index for vector-series-coefficient FAC_DIAG18.
Also, if i am interested only in variable relationships, can i ignor alltogeather the interpretation of coefficents - irespective of their definition in levels of log-levels?
Many thanks,
Tareb