Mathematical expression of IRF
Posted: 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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Re: Mathematical expression of IRF
Posted: Wed Jul 27, 2016 5:01 am
It is moving average representation coefficients. For example, see chapter 11 Hamilton (1994).
Re: Mathematical expression of IRF
Posted: 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?
Re: Mathematical expression of IRF
Posted: Thu Jul 28, 2016 12:50 am
Yes
Re: Mathematical expression of IRF
Posted: Thu Jul 28, 2016 7:05 am
thank you very much!! :)