Name

irf0 — Low-level Impulse Response function

CALLING SEQUENCE

[IRF,PHI]=irf0(beta,S,N,p,P)

PARAMETERS

Input

• beta = estimated parameters from a VAR

• S = # of periods

• N = dimension of the VAR

• p = # of lags

• P = matrix such that P*e = u where u is the residual from the VAR regression; e is the residual to be shocked

Output

• IRF = ((S+1) x T) impulse response functions

• PHI = (N*p x T) matrix of coefficients

DESCRIPTION

Calculates Impulse Response Function for VAR (low level function).

EXAMPLE

m=irf0(sbeta,S,N,p,P)
 
Example taken from function irf_mc1(). Used because of its greater speed. 

               

AUTHOR

Eric Dubois 2002