Am 06.12.2021 um 09:23 schrieb Olasehinde Timmy:
Please, in addition to the new features, we are thirsty for the
generalized impulse response functions in the vector model.
We hope that it comes along with the upcoming version.
This remains unlikely; the main reason (at least from my point of view)
being the following argument from Kilian & Lütkepohl (2017, SVAR
Analysis, chapter 18, pp. 617-618), with which I agree:
"... Pesaran and Shin (1998) explicitly advocate the use of the
generalized impulse responses ... as being more general than traditional
structural VAR impulse responses... They suggest that studying the
response of the model variables to reduced-form shocks is more general
because it avoids the use of economic identifying assumptions that may
be controversial. This argument is not persuasive because reduced-form
shocks have no economic interpretation and violate the ceteris paribus
assumption required for quantifying causal relationships in the data. At
best, these responses may serve as a description of the properties of
the data. They are not informative about the structural model. Moreover,
if we were actually interested in responses to reduced-form shocks in
linear VAR models, such responses could easily have been generated using
the standard tools..."
In gretl's context, these standard tools are for example the vma() and
irf() functions which allow you to calculate the reduced-form impulse
responses. However, it does seem to be true that there is no direct
option to get the reduced-form IRFs from the GUI. (Because typically
they are not of direct interest.)
If you really must see the reduced-form IRF related to the shock
variable x, here's what you can do in the GUI as a workaround: Use the
Choleski scheme and move x to the extreme position such that its shock
only affects its own equation on impact, nothing else.