Computing level-impulse responses of log-specified VAR systems

J.E. Wieringa, C. Horvath

Research output: Contribution to journalArticleAcademicpeer-review

10 Citations (Scopus)

Abstract

Impulse response functions (IRFs) are often used to analyze the dynamic behavior of a vector autoregressive (VAR) system. In many applications of VAR modelling, the variables are log-transformed before the model is estimated. If this is the case, the results of the IRFs do not have a direct interpretation, since they are also log-transformed. In this paper, we present explicit expressions for computing impulse response functions that are expressed in the levels of the variables, given a log-log transformed model. We illustrate the methodology by an application in marketing. (c) 2004 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.

Original languageEnglish
Pages (from-to)279-289
Number of pages11
JournalInternational Journal of Forecasting
Volume21
Issue number2
DOIs
Publication statusPublished - 2005

Keywords

  • VAR models
  • log-transformation
  • impulse response functions
  • PRICE PROMOTIONS
  • TIME-SERIES
  • IMPACT

Cite this