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irf_mc1

Monte-Carlo Impulse Response function for VAR

CALLING SEQUENCE

[irf_low,irf_upp]=irf_mc1(res,mres,S,N,p,niter,siz)

PARAMETERS

Input

• results = results tlist returned by VAR

• mres = decomposition method

• N = # of endogenous variables in the VAR

• S = # of periods

• p = # of lags in the VAR

• niter = # of draws in the simulation

• 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 Monte-Carlo simulations on the coefficient matrix.

EXAMPLE

[irf_low,irf_upp]=irf_mc1(results,mres,S,N,p,niter,siz)
 
// Example taken from function irf(). This is equivalent to the simpler call: irf(results,S,'mres=name of mres','size=siz','meth=mc1','niter=value of niter')).

AUTHOR

Eric Dubois 2002

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