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st: Impulse Response Functions


From   Erkal Ersoy <erkal6@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Impulse Response Functions
Date   Sat, 6 Aug 2011 01:46:25 +0100

Hello Statalisters,

I have a couple of quite basic questions about IRFs in Stata and how
they are implemented.
Firstly, I have been having a hard time figuring out what the default
size and duration of an impulse is. For instance, when the command irf
graph oirf, impulse(var1) response(var2) is executed, is the impulse a
1 unit permanent shock to var1? Also, is there a way to change the
size and duration of the shock if I wanted? That is, could I change
the impulse to a 1 standard deviation that lasts 1 period only?
Secondly, for some reason, the results I get from irf graph oirf,
impulse(var1) response(var2) do not match those I get from irf table
oirf, impulse(var1) response(var2). I plotted the output from the
latter command (table) but it certainly does look like the former
(graph).

I would very much appreciate any help or suggestions. Thank you in advance.

Regards,
Erkal
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