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st: interpretation of impulse response function results
From
Yunxian Lu <[email protected]>
To
[email protected]
Subject
st: interpretation of impulse response function results
Date
Mon, 14 Mar 2011 00:54:50 -0400
Dear experts,
I have a quick question on the interpretation of the impulse response
function created by Stata. For example, under the command "irf", on
page 154 in the Time series manual, using the following command
irf graph oirf, impulse(dln_inc) response(dln_consump)
we graph the oirf. I was wondering what the vertical axis stands for?
On page 155, using the command "irf table oirf, irf(order1 order2)
impulse(dln_inc) response(dln_consump)", we can display the results.
How do we interpret these numbers? What does ".004934" mean in the
context? Is the following explanation correct: Given one standard
deviation changes in "dln_inc" in quarter t, there are .004934
standard deviation changes in "dln_consump" in quarter t? Or both
variables are measured in their original units instead of standard
deviation?
Thanks! I really appreciate your help!
Best,
Yunxian
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