Assymetric Magnitude of Impulse Response in VAR

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Assymetric Magnitude of Impulse Response in VAR

Postby sultan1 » Tue Sep 19, 2017 5:40 pm

Hi fellows,

I'm trying to estimate impulse responses in a VAR model. The variables include oil and some other macroeconomic variables. However, the economic theory states that magnitude of positive and negative shock of oil on these macroeconomic variables are different.

Thus, I need your assistance in how to estimate a VAR model and generate IRFs when the magnitude of negative and positive shocks are different ?


EViews Matt
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Re: Assymetric Magnitude of Impulse Response in VAR

Postby EViews Matt » Wed Sep 20, 2017 9:28 am


Are you referring to work by A. Hatemi-J (2011)? EViews doesn't have such asymmetric IRFs built-in, so you'll have to calculate them yourself, i.e., split the residuals into non-negative and non-positive series and estimate the secondary VARs.

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