structural VAR and impulse response function
Posted: Sun Mar 21, 2021 9:07 am
Hello everybody,
I want to estimate the dynamic response of GDP to a unit shock og government expenditure.
In first stage, I estimated the structural VAR (the A and B matrices); then, using the impulse definition tab, I have the impulse responses of an expenditure shock (shock 2) in the attachement. In the impulse response graph, the value of the first shock of expenditure (dlog(depensesa) in my case) is zero "0", but I want to have a one unit shock.
So my question is how can I obtain this shock with first value = "1".
Thank you for your help.
I want to estimate the dynamic response of GDP to a unit shock og government expenditure.
In first stage, I estimated the structural VAR (the A and B matrices); then, using the impulse definition tab, I have the impulse responses of an expenditure shock (shock 2) in the attachement. In the impulse response graph, the value of the first shock of expenditure (dlog(depensesa) in my case) is zero "0", but I want to have a one unit shock.
So my question is how can I obtain this shock with first value = "1".
Thank you for your help.