Asymmetric impulse response functions VECM
Posted: Fri Mar 06, 2020 12:03 pm
Hi,
I have the Academic Standalone EViews 11 version.
I am wanting to generate asymmetric impulse response functions, meaning I would like to introduce 10% positive and 10% shock (impulse).
Could anyone possibly please advise how this can be achieved in Eviews? Would one use the user specified impulse option and if so how?
The idea is to test for asymmetric price transmission and I have seen many studies which you asymmetric impulse response functions to test for price asymmetry.
I have attached an IRF'S for reference.
Any and all assistance would be greatly appreciated.
I have the Academic Standalone EViews 11 version.
I am wanting to generate asymmetric impulse response functions, meaning I would like to introduce 10% positive and 10% shock (impulse).
Could anyone possibly please advise how this can be achieved in Eviews? Would one use the user specified impulse option and if so how?
The idea is to test for asymmetric price transmission and I have seen many studies which you asymmetric impulse response functions to test for price asymmetry.
I have attached an IRF'S for reference.
Any and all assistance would be greatly appreciated.