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The most common approach for overcoming the problem of interpreting coefficients is to use an impulse response function (discussed later in Section 4.7.4) which examines the response of variables to the shock.
Due to their use for policy analysis and its structure and causality, a few core tools such as the Granger-causality test, Impulse response function and Variance decompositions have been developed in order to improve the interpretation of results and overcome a few of the critiques discussed earlier in this chapter.
If the lag length differs from the true length, core tools such as impulse response function or variance decomposition are proved to be inconsistent (Braun and Mittnik, 1993).
4.8.4 Impulse response function
The impulse response function (IRF) is therefore often computed in order to study the interrelationships within the variables of a system (Griffiths and Lutkepohl, 1990).
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