Regression modelMultivariate time series
Impulse Response Function (IRF)
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.
EconMind ile uygulaSoonVideoSoon
Tam yöntemi oku
Members only
Sign inSign in with a free account to read this section.
Sources
- Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. ISBN: 978-3-540-40172-8