Impulse Response Analysis and Forecast Error Variance Decomposition in SVAR Modeling

  • Carlo Giannini
Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 381)

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.

Keywords

Covariance Assure 

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Copyright information

© Springer-Verlag Berlin Heidelberg 1992

Authors and Affiliations

  • Carlo Giannini
    • 1
  1. 1.Department of EconomicsUniversity of AnconaAnconaItaly

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