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structural VAR and impulse response function

Posted: Sun Mar 21, 2021 9:07 am
by lisa
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.
impulse response function.docx
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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.

Re: structural VAR and impulse response function

Posted: Sun Mar 21, 2021 11:52 am
by startz
In most VARs, a shock only has a contemporaneous effect in its own equation. So unless you've done something special, you're getting the expected result.

Re: structural VAR and impulse response function

Posted: Tue Mar 23, 2021 6:57 am
by lisa
Thank you startz for your reply