Mathematical expression of IRF

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Ales
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Joined: Tue May 24, 2016 3:51 am

Mathematical expression of IRF

Postby Ales » Tue Jul 26, 2016 8:06 am

Hi, I am wondering what is the mathematical expression of Impulse Response Function as I can't find it anywhere. Does any of you know it please?
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dakila
Posts: 489
Joined: Tue Nov 24, 2015 4:57 pm

Re: Mathematical expression of IRF

Postby dakila » Wed Jul 27, 2016 5:01 am

It is moving average representation coefficients. For example, see chapter 11 Hamilton (1994).
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Ales
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Joined: Tue May 24, 2016 3:51 am

Re: Mathematical expression of IRF

Postby Ales » Thu Jul 28, 2016 12:31 am

so if I understand it correctly, this would be the formula, where u is random disturbance and φ represents the response?
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dakila
Posts: 489
Joined: Tue Nov 24, 2015 4:57 pm

Re: Mathematical expression of IRF

Postby dakila » Thu Jul 28, 2016 12:50 am

Yes
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Ales
Posts: 8
Joined: Tue May 24, 2016 3:51 am

Re: Mathematical expression of IRF

Postby Ales » Thu Jul 28, 2016 7:05 am

thank you very much!! :)
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