The RATS Software Forum

Thank you for the answer! So, just to be sure that I got it correctly: if both studies report that their shock is a one standard deviation shock and if both studies report the standard deviation of the shock variable time series (here, SD_1 and SD_2), then I can directly compare the absolute values ...

I try to compare the impulse responses from different studies. However, I am not sure if my conclusions are correct. This is my problem: Two studies that use monthly data report the responses of stock returns to a shock in oil prices. Both studies use vector autoregressive models and then construct ...