URGENT: Impulse Response Function
Posted: Sun May 04, 2014 9:30 am
Hello forumers
1) What does one SD Choleski factor shock imply?
meaning is it a value like 0.01 % = 1 % etc
2) Example using IRF = response value of Y is 0.0010 If I divide -0.0010/0.01 = -0.1 (%) is this the percentage change ?
3) Can I from here generalize from here... meaning one SD Choleski factor shock leads to a decrease of 0.1 % in dependent variable on day 4.
4) I want to induce a 1 % shock, should I choose Residual one unit?
1) What does one SD Choleski factor shock imply?
meaning is it a value like 0.01 % = 1 % etc
2) Example using IRF = response value of Y is 0.0010 If I divide -0.0010/0.01 = -0.1 (%) is this the percentage change ?
3) Can I from here generalize from here... meaning one SD Choleski factor shock leads to a decrease of 0.1 % in dependent variable on day 4.
4) I want to induce a 1 % shock, should I choose Residual one unit?