What is a one standard deviation shock?

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trams
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Joined: Sat Oct 27, 2012 3:29 am

What is a one standard deviation shock?

Postby trams » Tue Oct 30, 2012 10:57 pm

Hi everyone,

I would like to clarify the following:

1. A one standard deviation shock to variable x is simply a (1 unit/std deviation of x) shock to the structural errors?

2. The impulse responses are in standard deviation units if the data you've used are standardised?

Thanks! :)

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