Which type of Impulse Response Function should I use?

[Micheal Wembley]

Hi everyone!

I am carrying out a time-series analysis using the VECM.

I am now focusing on the Impulse Response Function (IRF), in order to identify the shocks in the model.

My question is: what types of IRF should I use between the simple IRF, the orthogonalized IRFs and the cumulative IRFs?

I feel the orthogonalized IRF seems to be the most popular, but what are the consequences of using this specific type of IRF?

Thanks in advance!

[Nick Cox]

Cross-posted at https://www.reddit.com/r/stata/comme...tion_should_i/