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| インパルス応答関数 (IRF)× | ベクトル自己回帰（VAR）モデル× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年 | 2005 | 2005 |
| 提唱者≠ | Helmut Lütkepohl | Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition |
| 種類≠ | Post-estimation diagnostic | Multivariate time-series model |
| 原典 | 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. DOI ↗ |
| 別名 | IRF, Dynamic Multiplier, Shock Response Function, Etki Tepki Fonksiyonu | vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon |
| 関連≠ | 3 | 4 |
| 概要≠ | 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). |
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