What is a one standard deviation shock?
Posted: Tue Oct 30, 2012 10:57 pm
Hi everyone,
I would like to clarify the following:
1. A one standard deviation shock to variable x is simply a (1 unit/std deviation of x) shock to the structural errors?
2. The impulse responses are in standard deviation units if the data you've used are standardised?
Thanks! :)
I would like to clarify the following:
1. A one standard deviation shock to variable x is simply a (1 unit/std deviation of x) shock to the structural errors?
2. The impulse responses are in standard deviation units if the data you've used are standardised?
Thanks! :)