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Generalised Impulse Response Analysis in Linear Multivariate Models

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Abstract

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.

Suggested Citation

  • Pesaran, M. H. & Shin, Y., 1997. "Generalised Impulse Response Analysis in Linear Multivariate Models," Cambridge Working Papers in Economics 9710, Faculty of Economics, University of Cambridge.
    • Handle: RePEc:cam:camdae:9710
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