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st: Panel VAR Impulse Response Functions


From   "FINERTY A.J.J." <a.j.j.finerty@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Panel VAR Impulse Response Functions
Date   Thu, 21 Feb 2013 17:36:09 -0000

Dear Statalisters,
 
I notice that pvar.ado, developed by Dr Love while working at the World
Bank, seems a popular program for estimating panel VARs. Hopefully,
therefore, someone will have come across the following and know how to
resolve it.
 
The impulse responses that the program gives are much bigger than I
expected, since I expected them to be computed on unit shocks. However,
the comments in the code indicate that each impulse response function is
computed using "1 std shock". Does anyone know how to find the standard
shock mentioned here so I can determine the responses I'm looking for by
hand or, alternatively, does anyone know how to make the program return
impulse responses generated by unit shocks instead of standard shocks?
 
Best wishes,
 
Alistair Finerty
a.j.j.finerty@durham.ac.uk

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