Significance of Impulse response functions

[carolpr]

Hi,
I am estimating a VAR model and I would like to know how to determine the significance of the impulse response functions from the confidence intervals? Thanks.

[wardy94]

Hi there,

I am too in the same position as you. I have been able to get the standard errors for each period for my IRF estimates, but I'm not sure whether these results are statistically significant? I'm assuming that you can't simply divide the IRF coefficients by the standard errors, like you would do in standard regression analysis, to get the t-stats of the coefficient estimates.

Any help would be greatly appreciated.

Thanks,

James

[trubador]

I'm assuming that you can't simply divide the IRF coefficients by the standard errors, like you would do in standard regression analysis, to get the t-stats of the coefficient estimates.

Why not?
And please ask the same question only once and preferably under a single relevant thread.