VECM impulse response problem

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mokkeliner
Posts: 5
Joined: Mon Aug 04, 2014 6:48 am

VECM impulse response problem

Postby mokkeliner » Thu Aug 07, 2014 7:02 am

I have been computing impulse responses for several VECM's and it seems as though in eviews the impulse response is the accumulated impulse response and the accumulated impulse response is the accumulated accumulated impulse response (they just keep on rising or declining endlessly). The impulse responses seems to work fine for regular VAR models. The EViews version I'm working with is EViews 8, 64-bit version, standard edition feb 21 2014 build. Has anyone else experienced this? Is this a known problem or are my VECMs perhaps poorly specified?

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