does impulse response function always converge to zeros
Posted: Fri Apr 27, 2018 4:58 am
Deal
I am using eviews 10 version.
My questions is about the impulse response function after cointegration estimation.
I found one cointegration vector and ran VECM model and tried to estimate impulse response function.
I expected that impulse response function under the case of cointegration would be converged to a zero point when a shock is given.
But for this time, my impulse response functions were not converged to zeros.
Are these results implying that my estimation is wrong? Or, it is also possible under the cointegration relation.
How can I interpret my impulse response functions?
Your kind comments are very much appreciated!
HIS
I am using eviews 10 version.
My questions is about the impulse response function after cointegration estimation.
I found one cointegration vector and ran VECM model and tried to estimate impulse response function.
I expected that impulse response function under the case of cointegration would be converged to a zero point when a shock is given.
But for this time, my impulse response functions were not converged to zeros.
Are these results implying that my estimation is wrong? Or, it is also possible under the cointegration relation.
How can I interpret my impulse response functions?
Your kind comments are very much appreciated!
HIS