New Information Response Functions

C. Jardet, Alain Monfort () and Fulvio Pegoraro ()

Documents de Travail from Banque de France

Abstract: We propose a new methodology for the analysis of impulse response functions in VAR or VARMA models. More precisely, we build our results on the non ambiguous notion of innovation of a stochastic process and we consider the impact of any kind of new information at a given date $t$ on the future values of the process. This methodology allows to take into account qualitative or quantitative information, either on the innovation or on the future responses, as well as informations on filters. We show, among other results, that our approach encompasses several standard methodologies found in the literature, such as the orthogonalization of shocks (Sims (1980)), the "structural" identification of shocks (Blanchard and Quah (1989)), the "generalized" impulse responses (Pesaran and Shin (1998)) or the impulse vectors (Uhlig (2005)).

Keywords: Impulse response functions; innovation; new information. (search for similar items in EconPapers)
JEL-codes: C10 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba and nep-ets
Date: 2009
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Persistent link: http://EconPapers.repec.org/RePEc:bfr:banfra:235

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