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st: RE: interpretation of impulse response function results


From   DE SOUZA Eric <[email protected]>
To   "[email protected]" <[email protected]>
Subject   st: RE: interpretation of impulse response function results
Date   Mon, 14 Mar 2011 09:55:16 +0100

See pages 172 and 173 of the manual, esp. the second paragraph of page 173.


Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu


-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Yunxian Lu
Sent: 14 March 2011 05:55
To: [email protected]
Subject: st: interpretation of impulse response function results

Dear experts,

I have a quick question on the interpretation of the impulse response function created by Stata. For example, under the command "irf", on page 154 in the Time series manual, using the following command

irf graph oirf, impulse(dln_inc) response(dln_consump)

we graph the oirf. I was wondering what the vertical axis stands for?

On page 155, using the command "irf table oirf, irf(order1 order2)
impulse(dln_inc) response(dln_consump)", we can display the results.
How do we interpret these numbers? What does ".004934" mean in the context? Is the following explanation correct: Given one standard deviation changes in "dln_inc" in quarter t, there are .004934 standard deviation changes in  "dln_consump" in quarter t? Or both variables are measured in their original units instead of standard deviation?

Thanks! I really appreciate your help!

Best,
Yunxian
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