Innovation or Shock Size for Stata’s PVAR
2 Pages Posted: 27 Dec 2018
Date Written: November 20, 2018
Abstract
In this note I show how to obtain the exact size of the innovation (or shock) for Stata's pvar and pvarinf commands.
Keywords: stata, pvar, pvarinf, shock, innovation
JEL Classification: C01, C33
Suggested Citation: Suggested Citation
Ford, George S., Innovation or Shock Size for Stata’s PVAR (November 20, 2018). Available at SSRN: https://ssrn.com/abstract=3288004 or http://dx.doi.org/10.2139/ssrn.3288004
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