VAR and IRF
Posted: Tue Apr 14, 2009 1:26 pm
Hi,
i have a short question. Am I right that the "User specified" Impulse is similar to the "Residual-One Unit" option?
So when Im building a 3X1 impulse matrix (as an Example 2,3,0) then I set an impulse to two units of the residuals of variable 1,three units of the residuals of variable 2 and zero units of the residuals of variable 3 (analogue to the "Residual-One Unit"). Hence autocorrelation between the residuals will be ignored?
Thanky for help.
i have a short question. Am I right that the "User specified" Impulse is similar to the "Residual-One Unit" option?
So when Im building a 3X1 impulse matrix (as an Example 2,3,0) then I set an impulse to two units of the residuals of variable 1,three units of the residuals of variable 2 and zero units of the residuals of variable 3 (analogue to the "Residual-One Unit"). Hence autocorrelation between the residuals will be ignored?
Thanky for help.