Generalized Impulse Responses - TeXlips

Generalized Impulse ResponsesAnders WarneFebruary 27, 2008 Abstract:This note discusses how to compute Generalized Impulse Responses and their asymp-totic distribution. The results I present are essentially vector versions of what has already beenshown by, , Pesaran and Shin (1998). The value added is therefore measurable in terms ofproviding simpler algorithms for writing the computer code needed to make use of generalizedimpulse Responses in :Asymptotics, Impulse response Classification contrast with Impulse response functions for structural models, Generalized Impulse re-sponses do not require that we identify any structural shocks.

while lim h→∞ β A h 0. Hence, the long-run generalized impulse responses in levels depend on the long-run impact matrix Cand converge to finite matrix, while the long-run generalized responses for the coin- tegration relations converge to zero.

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