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Response to an input Series

Posted: Sun Mar 15, 2009 12:06 pm
by alirezan321
I have a VAR system with 7 variables.
I'm estimating the shocks in each variables by the residuals from the associated equation in the VAR model. Now I want to create the effect of one whole series of shocks in one variable on the whole system. How do I do this?

For example I have the series of NBR shock and keeping all other shocks equal to zero, I like to see how federal funds rate will respond to that over the whole sample set of the NBR shocks.

Thanks,

Re: Response to an input Series

Posted: Mon Mar 16, 2009 10:15 am
by alirezan321
Eview accepts a matrix of shocks but its length maximum can be equal to the number of variables.

Any suggestions?

Re: Response to an input Series

Posted: Mon Mar 16, 2009 12:14 pm
by EViews Glenn
I'm not certain how you are defining shocks here. The typically way to do impulse responses is to shock the variables in the VAR with a single impulse. How are you defining your shocks?

Re: Response to an input Series

Posted: Mon Mar 16, 2009 12:22 pm
by alirezan321
Just like in an electric circuit, whenever I have the impulse response, I can also calculate the response to any specific input.
In the same way, if I have a simple AR(1) as yt=a*y(t-1)+et, once I obtain the value for a, I can use any series as et and calculate y. What is the systematic way of doing this in a VAR model?

Re: Response to an input Series

Posted: Mon Mar 16, 2009 1:26 pm
by EViews Glenn
For anything other than the standard methods, you'll need to use the model object. You'll probably be able to use add factors to do what you need to do.