Does such a tool exist

[vchuk68]

Hello, I would like to see if there is a programme for this:


I am looking for an econometric forecasting tool which measures the reaction to impulses as a forecast. Simply stated, in my work, I use a function called Orthogonalised Impulse Response Function (OIRF) where a one percent standard deviation economic shock, for example, is induced into a system and the reaction to this shock is measured in terms of its magnitude and duration. For example, if I wish to trace the path of an economic demand shock (independent variable) to the exchange rate (dependent variable), I induce a one standard deviation positive demand shock and then trace the magnitude and duration of the country's exchange rate (to test for example, its flexibility). My question is, is there a useful developed econometric software where I could perform the same procedure but from a forecasting perspective? Using a very simple example - I wish to measure the future movement in the UK's exchange rate when the interest rate increases, I would like to test and measure the future exchange rate movement? In this case, I would induce a positive interest rate shock (independent variable) and measure the future values of the exchange rate (dependent variable), in terms of the percentage deviation from zero (the start of the induced shock) and the length of time it takes for this effect of the shock to die out. Can this be done? Naturally, I do this with retrospective data - I am looking to perform this with real time data. Is there such a forecasting procedure? Your comments will be very gratefully recieved.