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Generalized impulse response analysis in linear multivariate models

  • Pesaran, H. Hashem
  • Shin, Yongcheol

Building on Koop, Pesaran and Potter (1996), the authors propose the `generalised' impulse response analysis for unrestricted vector autoregressive (VAR) and cointegrated VAR models. Unlike the traditional impulse response analysis, this approach does not require orthogonalisation of shocks and is invariant to the ordering of the variables in the VAR. In particular, it is shown that in general both generalised and orthogonalised impulse responses are equivalent only when the effects of the shock for the first equation in the VAR is examined. An empirical illustration is also provided showing that the two impulse responses could differ substantially.

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File URL: http://www.sciencedirect.com/science/article/B6V84-3T51RH8-1B/2/0d3741a3b2b673718572c13f4b8b6893
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 58 (1998)
Issue (Month): 1 (January)
Pages: 17-29

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Handle: RePEc:eee:ecolet:v:58:y:1998:i:1:p:17-29
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Pesaran, M. Hashem & Shin, Yongcheol, 1996. "Cointegration and speed of convergence to equilibrium," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 117-143.
  2. Robert G. King & Charles I. Plosser & James H. Stock & Mark W. Watson, 1987. "Stochastic Trends and Economic Fluctuations," NBER Working Papers 2229, National Bureau of Economic Research, Inc.
  3. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, March.
  4. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
  5. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  6. Lutkepohl, Helmut & Reimers, Hans-Eggert, 1992. "Impulse response analysis of cointegrated systems," Journal of Economic Dynamics and Control, Elsevier, vol. 16(1), pages 53-78, January.
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