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VAR / Impulse Response Explorer
ECON-5371 · Time Series Analysis and Forecasting — Chapter 7 companion widget
Two-Variable VAR(1)
Variables: Growth (G) and Inflation (π). Set the reduced-form coefficient matrix and the contemporaneous correlation of residuals.
Coefficient Matrix A
A₁₁ — effect of Growth(t−1) on Growth(t)
0.50
A₁₂ — effect of Inflation(t−1) on Growth(t)
0.10
A₂₁ — effect of Growth(t−1) on Inflation(t)
0.20
A₂₂ — effect of Inflation(t−1) on Inflation(t)
0.60
Residual Correlation
Correlation between Growth and Inflation shocks
0.30
Cholesky Ordering
Growth first, Inflation second
Inflation first, Growth second
Horizon
Horizon (periods)
20
Reset to baseline
System is stable.
Shock to Growth → Response of Growth
Shock to Growth → Response of Inflation
Shock to Inflation → Response of Growth
Shock to Inflation → Response of Inflation