irf0 VAR estimations irf_mc1

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irf_asy

asymptotic Impulse Response function for VAR

CALLING SEQUENCE

[irf_low,irf_upp]=irf_asy(results,mres,P,IRF,PHI,S,siz)

PARAMETERS

Input

• results = results tlist returned by VAR

• mres = decomposition method

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

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

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

• S = # of periods

• siz = size of the confidence band

Output

• irf_low = ((S+1) x T) lower range of impulse response confidence band

• irf_upp = ((S+1) x T) upper range of impulse response confidence band

DESCRIPTION

Calculates standard error of Impulse Response Function for VAR by means of the asymptotic formula. Note: a much simpler method is to use irf with option 'meth=asym'.

EXAMPLE

[irf_low,irf_upp]=irf_asy(results,mres,P,IRF,PHI,S,siz)
 
// Example taken from function irf(). This is equivalent to the simpler call: irf(results,S,'meth=asym','mres=name of mres','size=siz').

AUTHOR

Eric Dubois 2002
irf0 VAR estimations irf_mc1