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Re: st: What size impulse in VAR/VEC irf/oirf?


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: What size impulse in VAR/VEC irf/oirf?
Date   Tue, 07 Apr 2009 00:25:37 -0400

Diego,
 Because the unit impulse is the default,  you might consider standardizing your variables and then running an oirf.  A simulation is a much more complicated way of generating the proper size impulse with these models.
    Regards,
       Robert

Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University


Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf

CV:  http://homepages.nyu.edu/~ray1/vita.pdf

----- Original Message -----
From: Diego Navarro <the.electric.me@gmail.com>
Date: Monday, April 6, 2009 9:43 pm
Subject: Re: st: What size impulse in VAR/VEC irf/oirf?
To: statalist@hsphsun2.harvard.edu


> How precisely would I go about specifying a one std.dev impulse? I've
> combed the help files over and over.
> 
> 
> 2009/4/6 Robert A Yaffee <bob.yaffee@nyu.edu>:
> > Diego,
> >  The last message was somehow truncated.  The step size
> > in the command is the number of period over which you wish
> > to generate the IRF or OIRF.
> >    Robert
> >
> > Robert A. Yaffee, Ph.D.
> > Research Professor
> > Silver School of Social Work
> > New York University
> >
> >
> > Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
> >
> > CV:  http://homepages.nyu.edu/~ray1/vita.pdf
> >
> > ----- Original Message -----
> > From: Robert A Yaffee <bob.yaffee@nyu.edu>
> > Date: Monday, April 6, 2009 4:57 pm
> > Subject: Re: st: What size impulse in VAR/VEC irf/oirf?
> > To: statalist@hsphsun2.harvard.edu
> >
> >
> >> wish to generate your IRF.
> >>  -Robert
> >>
> >>
> >> Robert A. Yaffee, Ph.D.
> >> Research Professor
> >> Silver School of Social Work
> >> New York University
> >>
> >>
> >> Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
> >>
> >> CV:  http://homepages.nyu.edu/~ray1/vita.pdf
> >>
> >> ----- Original Message -----
> >> From: Diego Navarro <the.electric.me@gmail.com>
> >> Date: Monday, April 6, 2009 12:38 pm
> >> Subject: st: What size impulse in VAR/VEC irf/oirf?
> >> To: statalist@hsphsun2.harvard.edu
> >>
> >>
> >> > One thing I can't seem to find in any documentation -- what's the 
> size
> >> > of the impulse when calculating IRFs and OIRFs via <irf create,
> >> > step(x)>? That is, what does it mean, when the first-period OIRF 
> is
> >> > 0.4, for example?
> >> >
> >> >
> >> > --
> >> > Diego Navarro
> >> > FGV Projetos
> >> > 2559-5620
> >> >
> >> > [GB/M/U/AT d?(++)>$ s-: a- C++++ U* P L+(-) E--- W+++ NoK- w--- M++>$
> >> > PS+$ PE@$ Y+ PG    Pt- X tv b+++ DI+++ DG e+++ h!(+) r++ y+(*)]
> >> >
> >> > *
> >> > *   For searches and help try:
> >> > *   http://www.stata.com/help.cgi?search
> >> > *   http://www.stata.com/support/statalist/faq
> >> > *   http://www.ats.ucla.edu/stat/stata/
> >>
> >> *
> >> *   For searches and help try:
> >> *   http://www.stata.com/help.cgi?search
> >> *   http://www.stata.com/support/statalist/faq
> >> *   http://www.ats.ucla.edu/stat/stata/
> >
> > *
> > *   For searches and help try:
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> > *   http://www.stata.com/support/statalist/faq
> > *   http://www.ats.ucla.edu/stat/stata/
> >
> 
> 
> 
> -- 
> Diego Navarro
> FGV Projetos
> 2559-5620
> 
> [GB/M/U/AT d?(++)>$ s-: a- C++++ U* P L+(-) E--- W+++ NoK- w--- M++>$
> PS+$ PE@$ Y+ PG    Pt- X tv b+++ DI+++ DG e+++ h!(+) r++ y+(*)]
> 
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



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