Abstract
The impulsetechnique of response analysis, first introduced in VAR modeling by Sims q P 1980 is a descriptive device representing the reaction of each variable to a shock in each equation of the system. “In order to be able to see the distinct pattern of movement the system may display” (Sims 1980, p. 21), the shocks must obviously be orthogonal.
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© 1992 Springer-Verlag Berlin Heidelberg
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Giannini, C. (1992). Impulse Response Analysis and Forecast Error Variance Decomposition in SVAR Modeling. In: Topics in Structural VAR Econometrics. Lecture Notes in Economics and Mathematical Systems, vol 381. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-02757-8_5
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DOI: https://doi.org/10.1007/978-3-662-02757-8_5
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-55262-8
Online ISBN: 978-3-662-02757-8
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