(please ignore the e-mail below, here is the complete version)

Hi

I am trying to determine the effect of a time series by using "irf" in R.
Here is my code:


library(urca)
library(vars)
library(forecast)
data(Canada)

vecm <- ca.jo(Canada[, c("prod", "e", "U", "rw")],type = "trace", ecdet =
"trend", K = 3, spec = "transitory")
vecm.level <-vec2var(vecm)
vecm.irf <- irf(vecm.level,impulse="prod",n.ahead = 10, boot = FALSE)
vecm.irf
plot(vecm.irf, )

which gives:


Impulse response coefficients
$prod
           prod           e              U                 rw
 [1,] 0.6120804 -0.03424428 -0.004103962  0.04098716
 [2,] 0.7638222  0.05164975 -0.068674897 -0.01484834
 [3,] 0.8323811  0.19425654 -0.133113137 -0.27043930
 [4,] 0.8403805  0.32567451 -0.216213464 -0.37039029
 [5,] 0.8663723  0.41625268 -0.292288629 -0.38440196
 [6,] 0.8828200  0.46147258 -0.325353313 -0.36907998
 [7,] 0.8725311  0.47655400 -0.329363126 -0.34208355
 [8,] 0.8503385  0.47359228 -0.323656951 -0.30929005
 [9,] 0.8322842  0.46095569 -0.312669303 -0.27045160
[10,] 0.8203387  0.44615374 -0.299015921 -0.23122216
[11,] 0.8107387  0.43341893 -0.286525076 -0.19969641


This looks exactly like what I need, but how do I interpret the result
above? (E.g. if I want to forecast "U" for a change in "prod", how would I
do that?). What I also don't understand is that this is supposed to be the
response for a unit change in "prod", why then is the first entry for "prod"
0.6120804 and not 1.000000?


Thanks
Karl

















---------- Forwarded message ----------
From: Karl Schriek <kschriek@gmail.com>
Date: Tue, Nov 24, 2009 at 10:56 AM
Subject: Interpreting impluse response coefficients
To: r-sig-finance@stat.math.ethz.ch


Hi

I am trying to determine the effect of a time series by using "irf" in R.
Here is my code:


library(urca)
library(vars)
library(forecast)
data(Canada)

vecm <- ca.jo(Canada[, c("prod", "e", "U", "rw")],type = "trace", ecdet =
"trend", K = 3, spec = "transitory")
vecm.level <-vec2var(vecm)
vecm.irf <- irf(vecm.level,impulse="prod",n.ahead = 10, boot = FALSE)
vecm.irf
plot(vecm.irf, )

which gives:


Impulse response coefficients
$prod
           prod           e              U          rw
 [1,] 0.6120804 -0.03424428 -0.004103962  0.04098716
 [2,] 0.7638222  0.05164975 -0.068674897 -0.01484834
 [3,] 0.8323811  0.19425654 -0.133113137 -0.27043930
 [4,] 0.8403805  0.32567451 -0.216213464 -0.37039029
 [5,] 0.8663723  0.41625268 -0.292288629 -0.38440196
 [6,] 0.8828200  0.46147258 -0.325353313 -0.36907998
 [7,] 0.8725311  0.47655400 -0.329363126 -0.34208355
 [8,] 0.8503385  0.47359228 -0.323656951 -0.30929005
 [9,] 0.8322842  0.46095569 -0.312669303 -0.27045160
[10,] 0.8203387  0.44615374 -0.299015921 -0.23122216
[11,] 0.8107387  0.43341893 -0.286525076 -0.19969641

	[[alternative HTML version deleted]]

