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    Impulse Response

    Uploaded by

    destiny710
    This document provides information about the irf command in Stata, which is used to create and analyze impulse response functions (IRFs), dynamic multiplier functions, and forecast error variance decompositions (FEVDs) after estimating vector autoregressive (VAR), structural VAR (SVAR), vector error correction (VEC), autoregressive integrated moving average (ARIMA), or autoregressive fractionally integrated moving average (ARFIMA) models. The irf command allows users to create IRF/FEVD files containing the results of these analyses, set the active file, graph or tabulate the results, and add, drop, rename results within files. IRFs measure the effect of shocks on variables over time,

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    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd

    Impulse Response

    Uploaded by

    destiny710
    160 views4 pages
    This document provides information about the irf command in Stata, which is used to create and analyze impulse response functions (IRFs), dynamic multiplier functions, and forecast error variance decompositions (FEVDs) after estimating vector autoregressive (VAR), structural VAR (SVAR), vector error correction (VEC), autoregressive integrated moving average (ARIMA), or autoregressive fractionally integrated moving average (ARFIMA) models. The irf command allows users to create IRF/FEVD files containing the results of these analyses, set the active file, graph or tabulate the results, and add, drop, rename results within files. IRFs measure the effect of shocks on variables over time,

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    © © All Rights Reserved

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    This document provides information about the irf command in Stata, which is used to create and analyze impulse response functions (IRFs), dynamic multiplier functions, and forecast error variance decompositions (FEVDs) after estimating vector autoregressive (VAR), structural VAR (SVAR), vector error correction (VEC), autoregressive integrated moving average (ARIMA), or autoregressive fractionally integrated moving average (ARFIMA) models. The irf command allows users to create IRF/FEVD files containing the results of these analyses, set the active file, graph or tabulate the results, and add, drop, rename results within files. IRFs measure the effect of shocks on variables over time,

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    160 views4 pages

    Impulse Response

    Uploaded by

    destiny710
    This document provides information about the irf command in Stata, which is used to create and analyze impulse response functions (IRFs), dynamic multiplier functions, and forecast error variance decompositions (FEVDs) after estimating vector autoregressive (VAR), structural VAR (SVAR), vector error correction (VEC), autoregressive integrated moving average (ARIMA), or autoregressive fractionally integrated moving average (ARFIMA) models. The irf command allows users to create IRF/FEVD files containing the results of these analyses, set the active file, graph or tabulate the results, and add, drop, rename results within files. IRFs measure the effect of shocks on variables over time,

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 4

    Title

    stata.com
    irf Create and analyze IRFs, dynamic-multiplier functions, and FEVDs
    Syntax

    Description

    Remarks and examples

    References

    Also see

    Syntax
    irf subcommand . . .

    , ...

    subcommand

    Description

    create
    set

    create IRF file containing IRFs, dynamic-multiplier functions, and FEVDs


    set the active IRF file

    graph
    cgraph
    ograph
    table
    ctable

    graph results from active file


    combine graphs of IRFs, dynamic-multiplier functions, and FEVDs
    graph overlaid IRFs, dynamic-multiplier functions, and FEVDs
    create tables of IRFs, dynamic-multiplier functions, and FEVDs from
    active file
    combine tables of IRFs, dynamic-multiplier functions, and FEVDs

    describe
    add
    drop
    rename

    describe contents of active file


    add results from an IRF file to the active IRF file
    drop IRF results from active file
    rename IRF results within a file

    IRF stands for impulseresponse function; FEVD stands for forecast-error variance decomposition.
    irf can be used only after var, svar, vec, arima, or arfima; see [TS] var, [TS] var svar, [TS] vec,
    [TS] arima, and [TS] arfima.
    See [TS] irf create, [TS] irf set, [TS] irf graph, [TS] irf cgraph, [TS] irf ograph, [TS] irf table,
    [TS] irf ctable, [TS] irf describe, [TS] irf add, [TS] irf drop, and [TS] irf rename for details about
    subcommands.

    Description
    irf creates and manipulates IRF files that contain estimates of the IRFs, dynamic-multiplier
    functions, and forecast-error variance decompositions (FEVDs) created after estimation by var, svar,
    or vec; see [TS] var, [TS] var svar, or [TS] vec.
    irf creates and manipulates IRF files that contain estimates of the IRFs created after estimation
    by arima or arfima; see [TS] arima or [TS] arfima.
    IRFs and FEVDs are described below, and the process of analyzing them is outlined. After reading
    this entry, please see [TS] irf create.

    Remarks and examples

    stata.com

    An IRF measures the effect of a shock to an endogenous variable on itself or on another


    endogenous variable; see Lutkepohl (2005, 5163) and Hamilton (1994, 318323) for formal definitions.
    Becketti (2013) provides an approachable, gentle introduction to IRF analysis. Of the many types of
    IRFs, irf create estimates the five most important: simple IRFs, orthogonalized IRFs, cumulative
    IRFs, cumulative orthogonalized IRFs, and structural IRFs.
    1

    irf Create and analyze IRFs, dynamic-multiplier functions, and FEVDs

    A dynamic-multiplier function, or transfer function, measures the impact of a unit increase in an


    exogenous variable on the endogenous variables over time; see Lutkepohl (2005, chap. 10) for formal
    definitions. irf create estimates simple and cumulative dynamic-multiplier functions after var.
    The forecast-error variance decomposition (FEVD) measures the fraction of the forecast-error
    variance of an endogenous variable that can be attributed to orthogonalized shocks to itself or to
    another endogenous variable; see Lutkepohl (2005, 6366) and Hamilton (1994, 323324) for formal
    definitions. Of the many types of FEVDs, irf create estimates the two most important: Cholesky
    and structural.
    To analyze IRFs and FEVDs in Stata, you first fit a model, then use irf create to estimate the
    IRFs and FEVDs and save them in a file, and finally use irf graph or any of the other irf analysis
    commands to examine results:
    . use http://www.stata-press.com/data/r13/lutkepohl2
    (Quarterly SA West German macro data, Bil DM, from Lutkepohl 1993 Table E.1)
    . var dln_inv dln_inc dln_consump if qtr<=tq(1978q4), lags(1/2) dfk
    (output omitted )
    . irf
    (file
    (file
    (file
    . irf

    create order1, step(10) set(myirf1)


    myirf1.irf created)
    myirf1.irf now active)
    myirf1.irf updated)
    graph oirf, impulse(dln_inc) response(dln_consump)

    order1, dln_inc, dln_consump


    .006

    .004

    .002

    .002
    0

    10

    step
    95% CI

    orthogonalized irf

    Graphs by irfname, impulse variable, and response variable

    Multiple sets of IRFs and FEVDs can be placed in the same file, with each set of results in a
    file bearing a distinct name. The irf create command above created file myirf1.irf and put
    one set of results in it, named order1. The order1 results include estimates of the simple IRFs,
    orthogonalized IRFs, cumulative IRFs, cumulative orthogonalized IRFs, and Cholesky FEVDs.
    Below we use the same estimated var but use a different Cholesky ordering to create a second set
    of IRF results, which we will save as order2 in the same file, and then we will graph both results:

    irf Create and analyze IRFs, dynamic-multiplier functions, and FEVDs

    . irf create order2, step(10) order(dln_inc dln_inv dln_consump)


    (file myirf1.irf updated)
    . irf graph oirf, irf(order1 order2) impulse(dln_inc) response(dln_consump)

    order1, dln_inc, dln_consump

    order2, dln_inc, dln_consump

    .01

    .005

    .005
    0

    10

    10

    step
    95% CI

    orthogonalized irf

    Graphs by irfname, impulse variable, and response variable

    We have compared results for one model under two different identification schemes. We could just
    as well have compared results of two different models. We now use irf table to display the results
    tabularly:
    . irf table oirf, irf(order1 order2) impulse(dln_inc) response(dln_consump)
    Results from order1 order2

    step
    0
    1
    2
    3
    4
    5
    6
    7
    8
    9
    10

    (1)
    oirf

    (1)
    Lower

    (1)
    Upper

    (2)
    oirf

    (2)
    Lower

    (2)
    Upper

    .004934
    .001309
    .003573
    -.000692
    .000905
    .000328
    .000021
    .000154
    .000026
    .000026
    .000026

    .003016
    -.000931
    .001285
    -.002333
    -.000541
    -.0005
    -.000675
    -.000206
    -.000248
    -.000121
    -.000061

    .006852
    .003549
    .005862
    .00095
    .002351
    .001156
    .000717
    .000515
    .0003
    .000174
    .000113

    .005244
    .001235
    .00391
    -.000677
    .00094
    .000341
    .000042
    .000161
    .000027
    .00003
    .000027

    .003252
    -.001011
    .001542
    -.002347
    -.000576
    -.000518
    -.000693
    -.000218
    -.000261
    -.000125
    -.000065

    .007237
    .003482
    .006278
    .000993
    .002456
    .001201
    .000777
    .00054
    .000315
    .000184
    .00012

    95% lower and upper bounds reported


    (1) irfname = order1, impulse = dln_inc, and response = dln_consump
    (2) irfname = order2, impulse = dln_inc, and response = dln_consump

    Both the table and the graph show that the two orthogonalized IRFs are essentially the same. In both
    functions, an increase in the orthogonalized shock to dln inc causes a short series of increases in
    dln consump that dies out after four or five periods.

    irf Create and analyze IRFs, dynamic-multiplier functions, and FEVDs

    References
    Becketti, S. 2013. Introduction to Time Series Using Stata. College Station, TX: Stata Press.
    Hamilton, J. D. 1994. Time Series Analysis. Princeton: Princeton University Press.
    Lutkepohl, H. 1993. Introduction to Multiple Time Series Analysis. 2nd ed. New York: Springer.
    . 2005. New Introduction to Multiple Time Series Analysis. New York: Springer.

    Also see
    [TS] arfima Autoregressive fractionally integrated moving-average models
    [TS] arima ARIMA, ARMAX, and other dynamic regression models
    [TS] var Vector autoregressive models
    [TS] var svar Structural vector autoregressive models
    [TS] varbasic Fit a simple VAR and graph IRFs or FEVDs
    [TS] vec Vector error-correction models
    [TS] var intro Introduction to vector autoregressive models
    [TS] vec intro Introduction to vector error-correction models

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