structural VAR and impulse response function

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lisa
Posts: 45
Joined: Thu Jul 28, 2011 3:27 pm

structural VAR and impulse response function

Postby lisa » Sun Mar 21, 2021 9:07 am

Hello everybody,
I want to estimate the dynamic response of GDP to a unit shock og government expenditure.
In first stage, I estimated the structural VAR (the A and B matrices); then, using the impulse definition tab, I have the impulse responses of an expenditure shock (shock 2) in the attachement.
impulse response function.docx
(28.71 KiB) Downloaded 178 times

In the impulse response graph, the value of the first shock of expenditure (dlog(depensesa) in my case) is zero "0", but I want to have a one unit shock.
So my question is how can I obtain this shock with first value = "1".
Thank you for your help.

startz
Non-normality and collinearity are NOT problems!
Posts: 3775
Joined: Wed Sep 17, 2008 2:25 pm

Re: structural VAR and impulse response function

Postby startz » Sun Mar 21, 2021 11:52 am

In most VARs, a shock only has a contemporaneous effect in its own equation. So unless you've done something special, you're getting the expected result.

lisa
Posts: 45
Joined: Thu Jul 28, 2011 3:27 pm

Re: structural VAR and impulse response function

Postby lisa » Tue Mar 23, 2021 6:57 am

Thank you startz for your reply


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