Date of applying a shock on VECM

[fadimohamed]

Hi Tom,

i was trying to apply a shock on a system of three prices VECM. if the date of applying the shock changed does it change the results of the impulse responses? if yes i need your help of how to change the date of applying the shock using the instruction IMPULSE.

thank you so much for your help.

fadi

[TomDoan]

No. The response of a VECM to a shock is independent of the initial conditions. So you can just use IMPULSE.