Abstract
Impulse response functions are useful for studying the interactions between variables in a vector autoregressive model. They represent the reactions of the variables to shocks hitting the system. It is often not clear, however, which shocks are relevant for studying specific economic problems. Therefore structural information has to be used to specify meaningful shocks. Structural vector autoregressive models and the estimation of impulse responses are discussed and extensions to models with cointegrated variables or nonlinear features are considered.
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsBibliography
Amisano, G., and C. Giannini. 1997. Topics in structural VAR econometrics. 2nd ed. Berlin: Springer.
Benkwitz, A., H. Lütkepohl, and M. Neumann. 2000. Problems related to bootstrapping impulse responses of autoregressive processes. Econometric Reviews 19: 69–103.
Benkwitz, A., H. Lütkepohl, and J. Wolters. 2001. Comparison of bootstrap confidence intervals for impulse responses of German monetary systems. Macroeconomic Dynamics 5: 81–100.
Blanchard, O., and D. Quah. 1989. The dynamic effects of aggregate demand and supply disturbances. American Economic Review 79: 655–673.
Canova, F., and G. De Nicoló. 2003. On the sources of business cycles in the G-7. Journal of International Economics 59: 77–100.
Christiano, L., M. Eichenbaum, and C. Evans. 1996. The effects of monetary policy shocks: Evidence from the flow of funds. The Review of Economics and Statistics 78: 16–34.
Gallant, A., P. Rossi, and G. Tauchen. 1993. Nonlinear dynamic structures. Econometrica 61: 871–907.
Kilian, L. 1998. Small-sample confidence intervals for impulse response functions. The Review of Economics and Statistics 80: 218–230.
King, R., C. Plosser, J. Stock, and M. Watson. 1991. Stochastic trends and economic fluctuations. American Economic Review 81: 819–840.
Koop, G. 1992. Aggregate shocks and macroeconomic fluctuations: A Bayesian approach. Journal of Applied Econometrics 7: 395–411.
Koop, G., M. Pesaran, and S. Potter. 1996. Impulse response analysis in nonlinear multivariate models. Journal of Econometrics 74: 119–147.
Lütkepohl, H. 1988. Asymptotic distribution of the moving average coefficients of an estimated vector autoregressive process. Econometric Theory 4: 77–85.
Lütkepohl, H. 1990. Asymptotic distributions of impulse response functions and forecast error variance decompositions of vector autoregressive models. The Review of Economics and Statistics 72: 116–125.
Lütkepohl, H. 2005. New introduction to multiple time series analysis. Berlin: Springer.
Lütkepohl, H., and P. Saikkonen. 1997. Impulse response analysis in infinite order cointegrated vector autoregressive processes. Journal of Econometrics 81: 127–157.
Pesaran, M., and Y. Shin. 1998. Generalized impulse response analysis in linear multivariate models. Economics Letters 58: 17–29.
Sims, C. 1980. Macroeconomics and reality. Econometrica 48: 1–48.
Sims, C., and T. Zha. 1999. Error bands for impulse responses. Econometrica 67: 1113–1155.
Uhlig, H. 2005. What are the effects of monetary policy on output? Results from an agnostic identification procedure. Journal of Monetary Economics 52: 381–419.
Author information
Authors and Affiliations
Editor information
Copyright information
© 2018 Macmillan Publishers Ltd.
About this entry
Cite this entry
Lütkepohl, H. (2018). Impulse Response Function. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95189-5_2410
Download citation
DOI: https://doi.org/10.1057/978-1-349-95189-5_2410
Published:
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-95188-8
Online ISBN: 978-1-349-95189-5
eBook Packages: Economics and FinanceReference Module Humanities and Social SciencesReference Module Business, Economics and Social Sciences