Computing level-impulse responses of log-specified VAR systemsWieringa, J. E. & Horvath, C., 2005, In : International Journal of Forecasting. 21, 2, p. 279-289 11 p.
Research output: Contribution to journal › Article › Academic › peer-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.
|Number of pages||11|
|Journal||International Journal of Forecasting|
|Publication status||Published - 2005|
- VAR models, log-transformation, impulse response functions, PRICE PROMOTIONS, TIME-SERIES, IMPACT