Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: RE: generalized impulse response function


From   "b.tracy" <bst73@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: generalized impulse response function
Date   Thu, 9 Jun 2011 08:35:15 -0700 (PDT)

Eric.

Following your advice, I verified that the "simple" (default) irf is not affected by the VAR ordering, and is thus equivalent to the "generalized" irf, proposed by Pesaran and Shin (1998, Economic Letters, "Generalized impulse response analysis in linear multivariate models").

Thank you for your help,

Brandon.

--- On Thu, 6/9/11, DE SOUZA Eric <eric.de_souza@coleurope.eu> wrote:

> From: DE SOUZA Eric <eric.de_souza@coleurope.eu>
> Subject: st: RE: generalized impulse response function
> To: "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
> Date: Thursday, June 9, 2011, 3:28 AM
> If I'm not mistaken, generalised IRFs
> are what Stata calls simple IRFs
> See -help irf- and -help irf create-
> 
> 
> Eric de Souza
> College of Europe
> Brugge (Bruges), Belgium
> http://www.coleurope.eu
> 
> 
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu]
> On Behalf Of b.tracy
> Sent: 08 June 2011 22:31
> To: statalist@hsphsun2.harvard.edu
> Subject: st: generalized impulse response function
> 
> I am wondering how to estimate generalized impulse response
> functions in Stata- can anyone help?
> 
> I realize this same question was asked to the listserve by
> another user in October 2008, but I cannot find any
> responses, explanations, or updates.
> 
> Thanks for your help.
> 
> *
> *   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:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index