<p>I ended up figuring it out. I was including the estimated constant in my IRF equation/calculation in Excel, which shouldn't have been there and was throwing my calculation off slightly. This obviously compounded with each subsequent period. </p>

<p>I found this resource provided the eureka moment for me: <a href="https://www3.nd.edu/~esims1/arp_companion.pdf" rel="nofollow noreferrer">https://www3.nd.edu/~esims1/arp_companion.pdf</a></p>

CC BY-SA 4.0
2020-04-28T04:27:50.960Z
2020-04-28T04:27:50.960Z
EwokCommander
<p>Can someone walk me through how to manually calculate the IRF values that Eviews outputs for the effect of a nonfactorized one unit innovation.</p>

<p>I have my VAR equation and coefficients: </p>

<pre><code>VAR Model - Substituted Coefficients:
===============================
MARKET_A = 1.38531644845*MARKET_A(-1) - 0.456533910287*MARKET_A(-2) + 0.0908884378218*MARKET_B(-1) - 0.0116001711851*MARKET_B(-2) - 0.0458678142475

MARKET_B = 0.0934164283416*MARKET_A(-1) - 0.0678660464848*MARKET_A(-2) + 1.34042022538*MARKET_B(-1) - 0.372260999882*MARKET_B(-2) + 0.0341759469926
</code></pre>

<p>The Eviews output for the effect of a nonfactorized one unit innovation from MARKET_A.</p>

<pre><code> Period MARKET_B    MARKET_A

 1   0.000000    1.000000
 2   0.093416    1.385316
 3   0.186763    1.471058
 4   0.258970    1.421328
 5   0.310545    1.318772
 6   0.346591    1.203253
 7   0.371878    1.092721
 8   0.389868    0.994217
 9   0.402869    0.909562
 10  0.412376    0.838231

Nonfactorized One Unit      
</code></pre>

<p>To calculate period 2, I have tried plugging in the values in the equation i.e </p>

<ul>
<li>0 for MARKET_B(-1), </li>
<li>0 for MARKET_B(-2)</li>
<li>1 for MARKET_A(-1)</li>
<li>0 for MARKET_A(-2)</li>
</ul>

<p>but the output is not the same for the first period. 
Obviously, I'm missing something. Could someone point me in the right direction?</p>

<econometrics>
Walk through for calculating impulse response function, given VAR equation & coefficients
EwokCommander
# Walk through for calculating impulse response function, given VAR equation & coefficients

(Asked by: username_0 on 2020-04-26)

Can someone walk me through how to manually calculate the IRF values that Eviews outputs for the effect of a nonfactorized one unit innovation.
I have my VAR equation and coefficients: 
VAR Model - Substituted Coefficients:
===============================
MARKET_A = 1.38531644845*MARKET_A(-1) - 0.456533910287*MARKET_A(-2) + 0.0908884378218*MARKET_B(-1) - 0.0116001711851*MARKET_B(-2) - 0.0458678142475

MARKET_B = 0.0934164283416*MARKET_A(-1) - 0.0678660464848*MARKET_A(-2) + 1.34042022538*MARKET_B(-1) - 0.372260999882*MARKET_B(-2) + 0.0341759469926

The Eviews output for the effect of a nonfactorized one unit innovation from MARKET_A.
 Period MARKET_B    MARKET_A

 1   0.000000    1.000000
 2   0.093416    1.385316
 3   0.186763    1.471058
 4   0.258970    1.421328
 5   0.310545    1.318772
 6   0.346591    1.203253
 7   0.371878    1.092721
 8   0.389868    0.994217
 9   0.402869    0.909562
 10  0.412376    0.838231

Nonfactorized One Unit      

To calculate period 2, I have tried plugging in the values in the equation i.e 

0 for MARKET_B(-1), 
0 for MARKET_B(-2)
1 for MARKET_A(-1)
0 for MARKET_A(-2)

but the output is not the same for the first period. 
Obviously, I'm missing something. Could someone point me in the right direction?

**Tags:** econometrics

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## 1 answers

### Answer by username_0 on 2020-04-28. Score: 1

I ended up figuring it out. I was including the estimated constant in my IRF equation/calculation in Excel, which shouldn't have been there and was throwing my calculation off slightly. This obviously compounded with each subsequent period.

I found this resource provided the eureka moment for me: <https://www3.nd.edu/~esims1/arp_companion.pdf>


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