Thanks for your answer.
I´m not using Cholesky decomposition but Sims'. Does it work the same or should I specify again "decomp=AAsims" option?
Search found 2 matches
- Thu Nov 17, 2011 2:52 pm
- Forum: VARs (Vector Autoregression Models)
- Topic: Specific shock: Impulse Response Functions
- Replies: 5
- Views: 9481
- Thu Nov 17, 2011 8:24 am
- Forum: VARs (Vector Autoregression Models)
- Topic: Specific shock: Impulse Response Functions
- Replies: 5
- Views: 9481
Re: Specific shock: Impulse Response Functions
Hi Tom, I need a feedback on this topic. I need to get a specific shock of 0.25 to the interest rate variable, but the "shock" option of the IMPULSE function doesn't work for me because it gives simultaneous shocks to each variable. I need to get the specific shock and left free the others...