[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]
st: Cumulative impulse response
I have estimated a VAR using the svar command in Stata. Now I am interested
in obtaining the long run cumulative impulse response. What I have done is
to use varirf create to make a long simulation of the CIRF and looked to
where it appears to have converged.
1. Is there a way to compute the infinite sum of the impulse responses
2. If not, what sort of criteria can I use to determine the point of
convergence for the CIRF: a series of insigificant IRFs in a row? Any other
3. Is anyone aware of guidance in the econometric literature on the ratio
of the number of lags in the VAR to the number of iterations to compute in
Thanks in advance!
* For searches and help try: