Response to an input Series
Posted: Sun Mar 15, 2009 12:06 pm
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,
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,