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AdaemmerP / lpirfs

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Shock size in lp_lin_iv #15

Closed enemcik closed 3 years ago

enemcik commented 3 years ago

Hello,

First of all, let me acknowledge the quality of the package - it is great and exactly just what I was looking for!

However, I have not found much information about the shock size in the function lp_lin_iv. I suppose it's a unit shock. Is there any possibility to modify these values? An example could be evaluating variable responses to the monetary policy shock (e.g., 25 basis points increase in a given interest rate).

Thank you for your clarification.

AdaemmerP commented 3 years ago

Thanks for using the package.

The impulse responses in lp_lin_iv are simply OLS estimates. If you want to measure the reaction to different shock sizes, you should recalibrate your shock series.