Publication

Computing level-impulse responses of log-specified VAR systems

Wieringa, J. E. & Horvath, C., 2005, In : International Journal of Forecasting. 21, 2, p. 279-289 11 p.

Research output: Contribution to journalArticleAcademicpeer-review

Impulse response functions (IRFs) are often used to analyze the dynamic behavior of a vector autoregressive (VAR) system. In many applications of VAR modelling, the variables are log-transformed before the model is estimated. If this is the case, the results of the IRFs do not have a direct interpretation, since they are also log-transformed. In this paper, we present explicit expressions for computing impulse response functions that are expressed in the levels of the variables, given a log-log transformed model. We illustrate the methodology by an application in marketing. (c) 2004 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.

Original languageEnglish
Pages (from-to)279-289
Number of pages11
JournalInternational Journal of Forecasting
Volume21
Issue number2
Publication statusPublished - 2005

    Keywords

  • VAR models, log-transformation, impulse response functions, PRICE PROMOTIONS, TIME-SERIES, IMPACT

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