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st: Vector autoregressive models and Impulse Response Functions


From   Lauricio Baletti <lauricio.baletti@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Vector autoregressive models and Impulse Response Functions
Date   Thu, 4 Nov 2010 19:32:51 +0100

Dear Statalist Users,

I'm estimating my first structural vector autoregressive models. My
goal is to identify fiscal multipliers with a simple 3 variable
approach (GDP, government spending and net taxes). Unfortunately I
have some interpretation troubles regarding the impulse response
functions. As far as I know the marginal shock unit is one standard
derivation. Now I want to compute the monetary values but I don't the
way to compute these values.

I'm really thankful for your help

Lauricio
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