Displaying 1 result from an estimated 1 matches for "vardat3".
Did you mean:
vardata
2012 Oct 22
0
"Vars" package: impulse response function
...do irf function results mean. These are the cumulative
orthogonal responses to sp variable shock but what is the value of this
shock? If for example I have to assess the response on 10% increase of sp
variable what should I do with these results?
Thanks a lot,
Marion
> #make a data frame
> vardat3<-data.frame(gdp,unemp,sp)
> #select the number of lags: const
> infocrit<-VARselect(vardat3,lag.max=20,type="const")
> infocrit
$selection
AIC(n) HQ(n) SC(n) FPE(n)
20 2 1 2
$criteria
1 2 3 4
AIC(n) -1.862833e+01 -1.880996e+01 -1.868877e+01 -1.863180e+01
HQ(n) -1.849392e+0...