Choosing of quarter to impose impulse response in a SVAR model

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Anyango
Posts: 2
Joined: Tue Jun 16, 2015 11:04 am

Choosing of quarter to impose impulse response in a SVAR model

Postby Anyango » Fri Jul 29, 2016 7:08 am

I am estimating an SVAR for monetary policy and set the pattern matrices for the same. I would to analyse the impulse responses to estimate the effects of a monetary policy shock on various macroeconomic variables.

My period of study is from 2000Q1 to 2015Q4. I would like to choose the years in which I decide the impulse response, for instance I would like to have a one standard deviation shock in 2008Q3. Is it possible to choose the quarter of the shock in EViews without losing data points? I am using EViews version 9. Can one has any ideas?

Kind Regards

dakila
Posts: 489
Joined: Tue Nov 24, 2015 4:57 pm

Re: Choosing of quarter to impose impulse response in a SVAR model

Postby dakila » Fri Jul 29, 2016 2:26 pm

You can not impose the impulse response. But what you beed is historical decomposition of shocks. Try hdecomp add-in.


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