Hi Franco,
I understand from your query that you want to know what the shock in the IRF in a BVAR model depicts. I am assuming that you are referring to the following 'irf' function in The BEAR toolbox:
This function uses a standard approach to simulate IRFs in VAR models, where a shock is typically standardized to a one-unit incease in the error term of the equation for the variable of interest. However, the code does not explicitly normalize the shock to represent a one standard deviation shock.
In summary, the function computes IRFs for each endogenous variable to unit shocks in each of the other variables.
But when we refer to the built-in MATLAB function 'irf' for VAR models, the shocks are standard deviations. You can refer to the below documentation to learn more:
Hope this helps!
