The RATS Software Forum

Thanks Tom. That makes sense. Yet, I find the result not intuitive in the sense that the cholesky decomposition does not depend upon normally (or elliptically) distributed error terms from what I understood. I do not see intuitively why one would get the equivalence result for normally (or elliptica...

Hi Tom. What if all my variables are returns defined as log(p_t/p_{t-1})? I have all the shocks in standard deviation terms. If the impulse response is 0.01, could I then say that a one unit standard deviation shock leads to an increase of 0.01 percentage points? My confusion is that log(p_t/p_{t-1}...

Hi Is there a procedure to obtain directly GIR and their confidence intervals in a VAR? I can not find any example with the procedure and example browser on estima website. This is from the July 2002 RATS newsletter <<quote>> Generalized Impulse Responses (Pesaran and Shin, (1998), “Generalized Imp...