Re: [Gretl-users] impulse-response functions from VECM in Grtel
On Fri, 18 Aug 2017, Sven Schreiber wrote:
- I just tried your (Allin's) example setup with UNEMP PRIME in
the SVAR
addon, and actually I get a very similar immediate effect of UNEMP->UNEMP. So
I think I was wrong when I inferred from the SVAR doc that the shock has unit
size. (There is a slight difference, but I think that's just the usual issue
of d-o-f corrections or not in the sigma estimate.) Perhaps the docs for the
SVAR add-on need to be clarified (note to self); or Jack could weigh in on
this.
I'll try to contribute to the discussion once I'm back from holiday (end
of the month). :-)
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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