Search found 3 matches
- Wed Feb 18, 2009 6:28 am
- Forum: VARs (Vector Autoregression Models)
- Topic: extending uhlig sign restriction model to 7 var.
- Replies: 1
- Views: 7621
extending uhlig sign restriction model to 7 var.
Replication File for Uhlig(2005), "What are the effects of monetary policy on * output? Results from an agnostic identification procedure", Journal of Monetary * Economics, 52, pp 381-419. Pure sign restriction approach I make the following changes in the standard codes (given below) to ex...
- Mon Jan 19, 2009 9:57 am
- Forum: VARs (Vector Autoregression Models)
- Topic: How one SD shock can be converted into percentage shock
- Replies: 24
- Views: 36894
Re: How one SD shock can be converted into percentage shock
Hi Tom,
Thanks so much for your reply.
I may sound foolish but Just to conrifm again. When both x and y are in log levels, One SD shock to x (variable shocked) and impulses of the variable of interest y would be interpreted as: 1% change in x causing how much % change in y.
Thanks in advance.
Bhupal
Thanks so much for your reply.
I may sound foolish but Just to conrifm again. When both x and y are in log levels, One SD shock to x (variable shocked) and impulses of the variable of interest y would be interpreted as: 1% change in x causing how much % change in y.
Thanks in advance.
Bhupal
- Thu Jan 15, 2009 4:24 am
- Forum: VARs (Vector Autoregression Models)
- Topic: How one SD shock can be converted into percentage shock
- Replies: 24
- Views: 36894
How one SD shock can be converted into percentage shock
Hi, I have computed impulse response functions from a SAVR model. The impulse responses are to one standard deviation shock to error terms. The variables: IIP, Oil price, CPI, exchange rate are in log levels. Interest rate are not in log. All variables are in level. Ques 1: I give one SD shock to Lo...