Re: [Gretl-users] VAR impulse responses: period 1
On 04/14/2012 06:09 PM, lien Bockstael wrote:
Dear Gretl-users,
I have a question about the impulse responses of a vector autoregression
model, generated with Gretl:
The impulse responses start at period 1. Is period 1 the period AFTER
the shock or is it the same period of the shock (the contemporaneous
period of the shock)?
This is perhaps a rather obvious question, but I would like to be sure
as I'm analyzing impulse responses for my dissertation.
I'm looking forward to your answer!
Thanks in advance,
Well, you can check that for yourself, by imposing some short-run
(=contemporaneous) zero restrictions and then looking at the period-1
values of the impulse responses; if those zeros re-appear, then it's the
contemporanous impact.
Having said that, I indeed am pretty certain that the impulse responses
start with the impact period, if only because otherwise there would be
some information that would go unreported.
cheers,
sven