Impulse Responses
Posted: Wed Jul 23, 2014 1:02 pm
Hi Tom,
I am using the montevar to estimate a small VAR model. I have a technical question on the impulse responses. As is standard in the literature, the impulses are shown as differences from conditional expectations. That is E_t(y_t+h|e_t) - E_t(y_t+h). I was wondering if there is a straight forward way or built in command to do it in terms of the initial data point, That is, E_t(y_t+h|e_t) - E_t(y_t).
I am using the montevar to estimate a small VAR model. I have a technical question on the impulse responses. As is standard in the literature, the impulses are shown as differences from conditional expectations. That is E_t(y_t+h|e_t) - E_t(y_t+h). I was wondering if there is a straight forward way or built in command to do it in terms of the initial data point, That is, E_t(y_t+h|e_t) - E_t(y_t).