02-21-2017 10:17 AM
All of the impulse responses that are simulated and printed/plotted are responses to 2 standard deviations positive shocks to each variable.
Is there any way to change the sign and the size of the shock that generates the IRF's?
For example If I have a VAR of X, Y and Z.
proc varmax data=data plots=all; model X Y Z/ minic=(type=SBC p=10) noint lagmax=3 print=(estimates impulse=(all)); run;
Would give me all types of IRF's for a 2 stdev shocks to each variable.
How can I simulate IRF of X, Y and Z to 3 stdev negative shock in X?