Regression modelMultivariate time series
脉冲响应函数 (IRF)
脉冲响应函数 (IRF) 追踪向量自回归 (VAR) 系统中每个变量对一个误差项中单位冲击在用户指定预测范围内的动态响应。它是 VAR 估计后进行结构分析的主要工具，在宏观经济学、货币经济学和金融学中被广泛用于量化冲击如何在相互关联的时间序列系统中传播。
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来源
- Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. ISBN: 978-3-540-40172-8
如何引用本页
ScholarGate. (2026, June 2). Impulse Response Function (IRF). ScholarGate. https://scholargate.app/zh/econometrics/impulse-response-function
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