VECM Impulse Responses

[moldini]

Dear EViews Forum Team

Can you confirm that in Eviews, the impulse responses for a VECM are calculated from a VAR in levels as suggested by Lütkepohl and Reimers (1992)?

Lütkepohl, H. and Reimers, H.-E. (1992). Impulse response analysis of cointegrated systems. Journal of Economic Dynamics and Control 16 (1), pp. 53-78.

I am actually using Eviews 7.

Thank you very much for your efforts!

Kind regards
Moldini

[EViews Gareth]

We can confirm that the impulses for a VECM are calculated in level form. We don't have a copy of that paper handy, so I can't 100% confirm it matches the suggestions given in the paper.

[moldini]

Dear Gareth

Thank you very much for your quick reply. Lütkepohl and Reimers (1992) simply describe the transformation process to a VAR in levels so that the VECM impulse responses can be computed.

Kind regards
Moldini

[EViews Gareth]

In that case, we're probably doing it like them.