impulse response function

Helmut Lütkepohl
From The New Palgrave Dictionary of Economics, Second Edition, 2008
Edited by Steven N. Durlauf and Lawrence E. Blume
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Abstract

Impulse response functions are useful for studying the interactions between variables in a vector autoregressive model. They represent the reactions of the variables to shocks hitting the system. It is often not clear, however, which shocks are relevant for studying specific economic problems. Therefore structural information has to be used to specify meaningful shocks. Structural vector autoregressive models and the estimation of impulse responses are discussed and extensions to models with cointegrated variables or nonlinear features are considered.
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How to cite this article

Lütkepohl, Helmut. "impulse response function." The New Palgrave Dictionary of Economics. Second Edition. Eds. Steven N. Durlauf and Lawrence E. Blume. Palgrave Macmillan, 2008. The New Palgrave Dictionary of Economics Online. Palgrave Macmillan. 28 August 2014 <http://www.dictionaryofeconomics.com/article?id=pde2008_I000283> doi:10.1057/9780230226203.0767

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