Explain how to generate impulse response functions and variance decompositions for the simple case when the variables

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Explain how to generate impulse response functions and variance decompositions for the simple case when the variables are not contemporaneously interdependent and the shocks are not correlated.

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Principles Of Econometrics

ISBN: 9781118452271

5th Edition

Authors: R Carter Hill, William E Griffiths, Guay C Lim

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Question Posted: Apr 02, 2024 02:00 AM

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Explain how to generate impulse response functions and variance decompositions for the simple case when the variables

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Impulse response functions IRFs and variance decompositions are common tools used in time series analysis particularly in the context of vector autore...View the full answer

Principles Of Econometrics

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