topic Re: Generalized Impulse Response Functions with Proc VARMAZ in SAS Forecasting and Econometrics

Generalized Impulse Response Functions with Proc VARMAZ

mmansaray — Mon, 19 Sep 2016 18:12:42 GMT

Hi, I am trying to generate a generalized impulse response functions for some macroeconomics data. I would like to assess the response of y as a result of x caused by some exogenous features. I was wondering if the program below appears correct. Thas was taken from SAS examples:

proc varmax data=grunfeld plot=impulse;
   model y1-y3 = x1 x2 / p=1 lagmax=5
                         printform=univariate
                         print=(impulsx=(all) estimates);
run;

Re: Generalized Impulse Response Functions with Proc VARMAZ

dw_sas — Fri, 23 Sep 2016 19:29:59 GMT

Hello,

The PRINT=(IMPULSX=(ALL)) option in PROC VARMAX produces the simple and accumulated impulse response function of the transfer function as described in Chapter 10 of Lutkepohl(2006). This is different than the generalized IRFs as described in Pesaran and Shin (1998), however, the IMPULSX= option does allow you to assess the long-run responses of Y to an impulse in X. Please see the documentation link below for more details and an example:

http://support.sas.com/documentation/cdl/en/etsug/68148/HTML/default/etsug_varmax_details05.htm#etsug_varmax009069

Hope this helps!

Re: Generalized Impulse Response Functions with Proc VARMAZ

mmansaray — Fri, 23 Sep 2016 19:54:16 GMT

ndeed, I was referring to the methodology proposed by Pesaran and Shin (1998). Well in the absence of this methodology, which you rightly explained, do you think this alternative would work?

proc varmax data=grunfeld plot=impulse;
   model y1-y3 = x1 x2 / p=1 lagmax=5
                         printform=univariate
                         print=(impulsx=(all) estimates);

Re: Generalized Impulse Response Functions with Proc VARMAZ

mmansaray — Sun, 25 Sep 2016 12:12:33 GMT

Thank you. That would help.

Mahmud