Methoden vergleichen

	Impulse Response Function	Vektorautoregressionsmodell (VAR)
Fachgebiet	Ökonometrie	Ökonometrie
Familie	Regression model	Regression model
Entstehungsjahr	2005	2005
Urheber	Helmut Lütkepohl	Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition
Typ	Post-estimation diagnostic	Multivariate time-series model
Wegweisende Quelle	Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. ISBN: 978-3-540-40172-8	Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer.
Aliasnamen	IRF, Dynamic Multiplier, Shock Response Function, Etki Tepki Fonksiyonu	vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon
Verwandt	3	4
Zusammenfassung	The Impulse Response Function (IRF) traces the dynamic response of each variable in a Vector Autoregression (VAR) system to a one-unit shock in one of its error terms over a user-specified forecast horizon. It is the primary tool for structural analysis following VAR estimation and is widely used in macroeconomics, monetary economics, and finance to quantify how shocks propagate through interconnected time series systems.	Vector Autoregression is a multivariate time-series model that treats several interdependent series symmetrically, letting each variable depend on its own past values and the past values of all the others. It is the standard tool for capturing mutual causality and joint dynamics, developed in the modern multiple-time-series tradition treated by Lütkepohl (2005).