I am currently working with a number of unrestricted VARs in order to examine the relationship between real output growth and stock prices.
I would like to to confirm how to test the significance of the responses.
One method is to look at the visual plots and check that both the upper and lower bands are in the same segment (ie both positive or both negative).
A second method is to view the impulse response table and divide each response by its standard error. If the result is aprrox. greater or equal to 2, then the particular response can be considered as statistically significant.
I would be grateful if someone could confirm these two methods.
Impulse responses are shown below.
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