VAR Impulse Function: One STD. Deviation
Posted: Sun Jun 26, 2011 2:37 pm
In the “Impulse tab” of the VAR impulse function: I figured out that the "Residual – One Unit" option corresponds to a shock matrix [1,0]T (based on the ordering of the varialbes in the VAR).
However, it is not clear to me what does "Residual - One Std. Deviation" refer to? If I want to calculate it, which variable should I use to calculate the std. deviation for the impulse matrix?
P.S. A minor question, if there are two variables defined in the "impulses" how does the impulse matrix look like (for a one-unit shock)? Do you shock it by [1,1]T or you devide the shock to [1,0]T and [0,1]T?
However, it is not clear to me what does "Residual - One Std. Deviation" refer to? If I want to calculate it, which variable should I use to calculate the std. deviation for the impulse matrix?
P.S. A minor question, if there are two variables defined in the "impulses" how does the impulse matrix look like (for a one-unit shock)? Do you shock it by [1,1]T or you devide the shock to [1,0]T and [0,1]T?