turn on suggestions

Auto-suggest helps you quickly narrow down your search results by suggesting possible matches as you type.

Showing results for

Find a Community

- Home
- /
- Analytics
- /
- Forecasting
- /
- Generalized Impulse Response Functions with Proc V...

Topic Options

- Subscribe to RSS Feed
- Mark Topic as New
- Mark Topic as Read
- Float this Topic for Current User
- Bookmark
- Subscribe
- Printer Friendly Page

- Mark as New
- Bookmark
- Subscribe
- Subscribe to RSS Feed
- Highlight
- Email to a Friend
- Report Inappropriate Content

09-19-2016 02:12 PM

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;

- Mark as New
- Bookmark
- Subscribe
- Subscribe to RSS Feed
- Highlight
- Email to a Friend
- Report Inappropriate Content

09-23-2016 03:29 PM

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:

Hope this helps!

DW

- Mark as New
- Bookmark
- Subscribe
- Subscribe to RSS Feed
- Highlight
- Email to a Friend
- Report Inappropriate Content

09-23-2016 03:54 PM

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);

I

- Mark as New
- Bookmark
- Subscribe
- Subscribe to RSS Feed
- Highlight
- Email to a Friend
- Report Inappropriate Content

09-25-2016 08:12 AM

Thank you. That would help.

Mahmud