Re: [Gretl-users] Impulse responses in VECM
Thanks for your help, Artur! I appreciate this a lot.
Some while ago their was already a thread on standadizing IRFs.
Please have
a look on this in the archive.
I saw this thread
(http://lists.wfu.edu/pipermail/gretl-users/2013-April/008808.html)
from early 2013 that addresses a similar question. The approach is
comparable to what I had in mind, but I am still confused why there is
a difference between the response of my shocked variable to a shock in
itself in period 1 (period 0 in the graphs) and the SE I calculate
manually as 1 SD / SQRT(no. of observations) from the summary
statistics.
The former is 0.0155, the latter is 0.4826 / SQRT(194) = 0.0347 (all
figures rounded for convenience). Any advice would be appreciated.
Thomas