Rolling Sample Graph of IRF's
Posted: Wed Feb 10, 2016 12:13 pm
The following does graphs of IRF's using rolling sample estimates of a structural VAR. The idea is used in Alves et al (2011), "The transmission of monetary policy and technology shocks in the euro area", Applied Economics, vol 43, 917–927---here it's applied to a more modest-sized model. This does a "cloud" of parallel IRF's one for each of the (40 here) rolling samples. In this case, the response of (the log change in) oil price to the oil price shock is almost identical across the samples so the 40 lines are almost on top of each other, while, by contrast, the response of interest rates is quite different across samples.
Note that this requires a late 2015 or later build of version 9---prior to that, you couldn't do 40 lines on a single graph. (The limit is now 100).
Note that this requires a late 2015 or later build of version 9---prior to that, you couldn't do 40 lines on a single graph. (The limit is now 100).