Innovation or Shock Size for Stata’s PVAR
2 Pages Posted: 27 Dec 2018
Date Written: November 20, 2018
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