[求助]：Eviews里generalized impulse response(广义脉冲响应)怎么做呢？

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Eviews里generalized impulse response(广义脉冲响应)怎么做呢？是不是只有存在协整关系，做了误差修正之后，才能用generalized impulse response呢？

谢谢啦！！

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关键词：Generalized Generalize response General impulse EVIEWS 脉冲响应 Generalized impulse response

操作见HELP,不存在协整关系也可以作，谢谢！

谢谢，非常感谢

晕，我看了help啊，只有impulse response,没有generalized impulse response啊

Generalized impulse response analysis in linear multivariate models

H. Hashem Pesaran^{a, *} and Yongcheol Shin<sup>b

a</sup> Trinity College, Cambridge, UK
^b Department of Applied Economics, University of Cambridge, Cambridge, UK

Received 29 May 1997; revised 17 June 1997; accepted 3 July 1997. Available online 13 July 1998.

Abstract

Building on Koop, [Koop et al. (1996) Impulse response analysis in nonlinear multivariate models. Journal of Econometrics 74, 119–147] we propose the ‘generalized' impulse response analysis for unrestricted vector autoregressive (VAR) and cointegrated VAR models. Unlike the traditional impulse response analysis, our approach does not require orthogonalization of shocks and is invariant to the ordering of the variables in the VAR. The approach is also used in the construction of order-invariant forecast error variance decompositions.

是啊，哪有generalized impulse response！

Question: Does anyone know if (and how) it is possible to perform an Im/Pesaran/Shin Test for stationarity with SAS? Does anyone maybe have a code?

Answer:

I haven't seen any such code. But there are stationarity tests in SAS already. Depending on what you want to model...

If you really want Pesaran's Generalized Impulse Response Analysis test, then I suggest that you look at his in Microfit, which he wrote to do this. If you want to program this yourself in SAS, here are a couple references:

Koop, G., Pesaran, H., Potter, S. (1996) Impulse Response Analysis in Nonlinear Multivariate Models, Journal of Econometrics, vol 74, p119-147.

Pesaran, H., Shin, Y. (1998) Generalized Impulse Response Analysis in Linear Multivariate Models, Economics Letters, vol 58, p 17-29.

And if you *do* program this yourself in SAS, please show SAS-L your code, or submit it in a paper to SUGI or something similar...

Attached is Latest TSP Examples provided by Stanford University. Could you please let me know whether it is working in your Eviews (In my understanding, Eviews is just Windownized TSP and I have used TSP for a while).

gir (V) Generalized Impulse Response - invariant to equation order. Reproduces results in Pesaran and Shin (1998) with KPSW data.

Eviews 5.1 User's Guide P731

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