Impulse Response Functions (IRFs)

Nektarios Michail ()
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Nektarios Michail: Bank of Cyprus, Economic Research

Chapter Chapter 3 in Understanding Vector Autoregressions, 2026, pp 25-32 from Springer

Abstract: Abstract This chapter covers one of the most useful applications of VAR models, namely impulse response analysis and the use of impulse response functions (IRFs). Reduced form IRFs are explored both numerically and using software applications, with more applications for Structural Vector Autoregressions (SVARs). The Cholesky decomposition, the most important tool for calculating IRFs, is also elaborated upon, providing clear guidance as to its use. The chapter also demonstrates how confidence intervals for IRFs are calculated.

Keywords: Impulse responses; IRFs; Cholesky; SVAR; Confidence intervals (search for similar items in EconPapers)
Date: 2026
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DOI: 10.1007/978-3-032-19604-0_3

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