R help - Aug 2008 - Impulse response analysis within package vars

Hi Everyone

 > var.2c <- VAR(Canada,p=2,type="const")
 > irf.rw.e <-
irf(var.2c,impulse="rw",response=c("e"))

...makes *vars* to compute the orthogonalised impulse responses to a
*unit* change in variable rw.
Now, if I want to compute the the orthogonalised impulse responses to a
*0.25* change in variable rw, how do I do that?

Do I have to alter something in the vars-code?

Regards,

Sam

hello Sam,

just rescale the result. Please note that *unit change* refers to the error
term. By the same token you can also rescale the impulse responses by making use
of the standard deviation of the residuals.

Best,
Bernhard
>
>Hi Everyone
>
> > var.2c <- VAR(Canada,p=2,type="const")
> > irf.rw.e <-
irf(var.2c,impulse="rw",response=c("e"))
>
>...makes *vars* to compute the orthogonalised impulse responses to a
>*unit* change in variable rw.
>Now, if I want to compute the the orthogonalised impulse responses to a
>*0.25* change in variable rw, how do I do that?
>
>Do I have to alter something in the vars-code?
>
>Regards,
>
>Sam
>
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Thank you Bernhard,
>  just rescale the result. Please note that *unit change* refers to the
>  error term. By the same token you can also rescale the impulse
>  responses by making use of the standard deviation of the residuals.
>
>  Best, Bernhard
>
> > Hi Everyone
> >
> > > var.2c<-VAR(Canada,p=2,type="const")
> > >
irf.rw.e<-irf(var.2c,impulse="rw",response=c("e"))
...makes *vars*
> > to compute the orthogonalised impulse responses to a *unit* change
> > in variable rw. Now, if I want to compute the the orthogonalised
> > impulse responses to a *0.25* change in variable rw, how do I do
> > that?
I think I got that one. So what I am doing now is:
R > var.2c=VAR(Canada,p=2,type="const")
R > irf.rw.e=irf(var.2c,impulse="rw",response=c("e"))
R > n=length(irf.rw.e$irf$rw)
R > for(i in 1:n){irf.rw.e$irf$rw[i]=irf.rw.e$irf$rw[i]*0.25}

Now, I am not sure if I have to alter something in the Lower and
Upper variables. Let it check by myself. In case of trouble I will
come back.

Regrads,

Sam