Teaching Notes on Impulse Response Function and …
• VAR/View/Impulse/Eviews • FinMetrics/Splus 2. Cointegration: • CATS/RATS • COINT2/GAUSS • VAR/Eviews • urca/R • FinMetrics/Splus 3. Impulse response under cointegration constraint: CATS,CATSIRFS/RATS References 1. Lutkepohl, Helmut Introduction to multiple time series analysis, 2nd ed. Springer-Verlag, 1991. 2.
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