Re: [Gretl-users] impulse-response functions from VECM in Grtel

On Fri, 18 Aug 2017, lasses skola wrote: Hi, and thank you for your response! I am not using any addons to my > knowledge. I was a big vague maybe. There is an option to calculate > confidence intervals of the IRFs using bootstrapping. > I think I put the question in the wrong way as well. What unit is the > shock > in? One standard deviation? Or SE of regression? > You've had a reply from Sven, but I believe he's thinking about the SVAR addon rather than the behavior of the built-in "var" and "vecm" commands. For the built-in commands, the shock is one standard deviation of the innovations of the variable in question. Here's a trivial example (using "var" rather than "vecm" but that doesn't make a substantive difference): <hansl> open data9-7 var 4 UNEMP PRIME --quiet matrix IRF = irf(1,1) print IRF matrix S = $sigma # covariance matrix of innovations printf "std deviation of UNEMP innovation: %.5f\n", sqrt(S[1,1]) </hansl> If you run the above you should see that the IRF vector begins: 0.24541 0.29007 0.27650 ... while the printf on the last line shows "std deviation of UNEMP innovation: 0.24541" hence confirming that the shock is one standard deviation (and the response is in the "natural" units of the target variable). Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users