Thank you Bernhard,
just rescale the result. Please note that *unit change* refers to the
error term. By the same token you can also rescale the impulse
responses by making use of the standard deviation of the residuals.
Best, Bernhard
> Hi Everyone
>
> > var.2c<-VAR(Canada,p=2,type="const")
> > irf.rw.e<-irf(var.2c,impulse="rw",response=c("e")) ...makes *vars*
> to compute the orthogonalised impulse responses to a *unit* change
> in variable rw. Now, if I want to compute the the orthogonalised
> impulse responses to a *0.25* change in variable rw, how do I do
> that?
I think I got that one. So what I am doing now is:
R > var.2c=VAR(Canada,p=2,type="const")
R > irf.rw.e=irf(var.2c,impulse="rw",response=c("e"))
R > n=length(irf.rw.e$irf$rw)
R > for(i in 1:n){irf.rw.e$irf$rw[i]=irf.rw.e$irf$rw[i]*0.25}
Now, I am not sure if I have to alter something in the Lower and
Upper variables. Let it check by myself. In case of trouble I will
come back.
Regrads,
Sam
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