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Re: st: RE: generalized impulse response function


From   "b.tracy" <[email protected]>
To   [email protected]
Subject   Re: st: RE: generalized impulse response function
Date   Thu, 9 Jun 2011 08:35:15 -0700 (PDT)

Eric.

Following your advice, I verified that the "simple" (default) irf is not affected by the VAR ordering, and is thus equivalent to the "generalized" irf, proposed by Pesaran and Shin (1998, Economic Letters, "Generalized impulse response analysis in linear multivariate models").

Thank you for your help,

Brandon.

--- On Thu, 6/9/11, DE SOUZA Eric <[email protected]> wrote:

> From: DE SOUZA Eric <[email protected]>
> Subject: st: RE: generalized impulse response function
> To: "[email protected]" <[email protected]>
> Date: Thursday, June 9, 2011, 3:28 AM
> If I'm not mistaken, generalised IRFs
> are what Stata calls simple IRFs
> See -help irf- and -help irf create-
> 
> 
> Eric de Souza
> College of Europe
> Brugge (Bruges), Belgium
> http://www.coleurope.eu
> 
> 
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]]
> On Behalf Of b.tracy
> Sent: 08 June 2011 22:31
> To: [email protected]
> Subject: st: generalized impulse response function
> 
> I am wondering how to estimate generalized impulse response
> functions in Stata- can anyone help?
> 
> I realize this same question was asked to the listserve by
> another user in October 2008, but I cannot find any
> responses, explanations, or updates.
> 
> Thanks for your help.
> 
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