Re: [Gretl-users] difference between SVAR and VAR IRFs

Mirko, Since you're interested in the effects of the structural shocks on your variables of interest, you should examine the structural impulse responses (ie, from SVAR). The IRFs from the 'standard VAR' are the effects of shocks that in general will be linear combinations of the structural shocks you're interested in, so they won't tell you what you want to know. Does that help? PS -----Original Message----- From: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On Behalf Of mastro2387(a)tiscali.it Sent: Friday, June 08, 2012 9:50 AM To: gretl-users(a)lists.wfu.edu Subject: [Gretl-users] difference between SVAR and VAR IRFs Dear All, I have a question, which probably you will find stupid.. I have to study the structural shocks to output for changes in government spending and taxes in the Normandy Invasion of WWII (period identified by dummy variable) and computing the consequent multipliers. For multipliers it is not a problem since they are linked with the VAR coefficients but for IRF...which ones do I have to check? Better saying,..the option for IRFs in the standard Vector Autoregression is anyway based on the Cholesky decomposition but IRF obtained in the SVAR are different: so which one do I have to choose and why? Thanks for attention and help!! Mirko Invita i tuoi amici e Tiscali ti premia! Il consiglio di un amico vale più di uno spot in TV. Per ogni nuovo abbonato 30 € di premio per te e per lui! Un amico al mese e parli e navighi sempre gratis: http://freelosophy.tiscali.it/ _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users