Computing level-impulse responses of log-specified VAR systems

J.E. Wieringa, C. Horvath

OnderzoeksoutputAcademicpeer review

10 Citaten (Scopus)

Samenvatting

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.

Originele taal-2English
Pagina's (van-tot)279-289
Aantal pagina's11
TijdschriftInternational Journal of Forecasting
Volume21
Nummer van het tijdschrift2
DOI's
StatusPublished - 2005

Citeer dit