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Interpreting impulse response with log percentage as dependent variable and first difference of share as independent one
Interpreting impulse response with log percentage as dependent variable and first difference of share as independent one

Hello everyone,

I estimate a VAR model where the dependent variable is log-transformed percentage (0-100) and the independent variable is first difference of a share (0-1) whereas the independent variable is not log-transformed.

I have seen similar questions here, but not specifically log-transformed percentage and first differences of share.

Can you help me to interpret the response of the dependent variable to the shock caused by the independent variable if the impulse respone would be, eg. 0.6 after 5 years?

Best
Marius

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Interpreting impulse response with log percentage as dependent variable and first difference of share as independent one

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