Re: [Gretl-users] VECM and IRF interpretation
Am 30.04.2018 um 21:46 schrieb Summers, Peter:
Your questions are about VARs in general, not about Gretl. This list
is
for questions specific to Gretl, not general questions about econometric
methods. If you’re asking about how Gretl computes things like IRFs, for
example, that’s covered in chapter 29 of the user’s guide. For questions
about the methods, please consult other sources (e.g., Enders’s
textbook, the blog that was recommended to you earlier, etc.).
I completely agree with Peter, but it has to be acknowledged that the
question about whether it's a SD shock or a unit shock is absolutely
relevant in the gretl context.
Please check out the thread "impulse-response functions from VECM in
Grtel" on this list in August 2017.
cheers,
sven