Hi,
I would like to run a recursive VAR Impulse Response Function. How do you specify the fact that the errors are uncorrelated (recursive VAR). Is it with the option "oirf"? Is the following code correct? Thanks!
I would like to run a recursive VAR Impulse Response Function. How do you specify the fact that the errors are uncorrelated (recursive VAR). Is it with the option "oirf"? Is the following code correct? Thanks!
Code:
use http://www.stata-press.com/data/r13/ibm, clear tsset t quietly : var ibm irx spx, lags(1/4) dfk irf create IRF, step(4) set(IRF) replace irf graph oirf, impulse(ibm irx spx) response(ibm irx spx) level(90)