[R-SIG-Finance] question about impulse -response functions

[Pfaff, Bernhard Dr.]

>-----Ursprüngliche Nachricht-----
>Von: r-sig-finance-bounces at stat.math.ethz.ch 
>[mailto:r-sig-finance-bounces at stat.math.ethz.ch] Im Auftrag 
>von Manuel Serna
>Gesendet: Montag, 1. Dezember 2008 13:34
>An: R-SIG-Finance at stat.math.ethz.ch
>Betreff: [R-SIG-Finance] question about impulse -response functions
>
>Good morning
>
>I would like to know if the impulse generated by irf is a unit of the
>impulse variable o standar deviation of the impulse variable.
>

Hello Manuel,

it is a unit shock. If you want the irf in terms sd, just multiply the outcome of irf() with the standard devition of the error term.

Best,
Bernhard


>Also, if my response variable is log GDP, the vertical axis of 
>the plot(irf)
>in waht units it is measure.
>
>Thanks,
>
>Manuel Serna
>
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