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st: re: irf: change innovation


From   Christopher Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: irf: change innovation
Date   Mon, 20 Oct 2008 13:42:14 -0400

< >
Nadine said

For a linear IRF, or impulse response function (which will be forthcoming from a linear VAR) the effect of (k x \sigma) is k times the effect of 1 \sigma, where k is any real number (including -1). Thus one can calculate the effect of any scaling of the standard +1 \sigma shock from the reported IRF.
And how can I implement that in stata?

-help irf- would be a good start.

Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html

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