msvar irf with confidence bands
resirfcb=msvar_irf_cb(res,hor,niter,siz,arg1, ,argn)
res = a tlist result from a ms var estimation
hor = a scalar, the horizon of the irf (note that the shocks are supposed to happen at time 0; therefore (hor+1) impulses are calculated)
niter = number of iterations
siz = siz of confidence bands
mres = optional argument that can be:
- x = chol1 (cholesky decomposition)
- x = chol2 (triangular factorisation)
- x = original (original residuals)
- x = soriginal (standardized (one standard deviation shock) uncorrelated residuals)
- x = girf (Generalized Impulse Response based on Pesaran and Shin) (default = soriginal)
resirf = a result tlist with:
resirf('meth') = 'msvar cb irf'
resirf('msvar cb res') = the input ms var results tlist
resirf('# irf') = the horizon of the irf calculations
resirf('nb states') = the # of states
resirf('nb irf') = the # of different AR parts
* 1 if they do not switch
* 1 if they do not switch
* the # states if they switcch
* the # states if they switcch
resirf('sigma switch') = the # of switching wariances
* 1 if they do not switch
* 1 if they do not switch
* the # states if they switch
* the # states if they switch
resirf('irf part state') = the partial impulse response
resirf('irf full state') = the full impulse response
resirf('irf part lower cb') = the lower part of the confidence band for the partial impulse response
resirf('irf full lower cb') = the lower part of the confidence band for the full impulse response
resirf('irf part upper cb') = the upper part of the confidence band for the partial impulse response
resirf('irf full upper cb') = the upper part of the confidence band for the full imptulse response
resirf('irf part median') = the median part of the confidence band for the partial impulse response
resirf('irf full median') = the median part of the confidence band for the full impulse response
resirf('irf part state # i') = partial impulse response for state i
resirf('irf full state # i') = the full impulse response for state i
resirf('irf part lower cb state # i') = lower part of the confidence band for partial impulse response of state i
resirf('irf part upper cb state # i') = upper part of the confidence band for partial impulse response of state i
resirf('irf part median state # i') = median partial impulse response of state i
resirf('irf full lower cb state # i') = lower part of the confidence band for full impulse response of state i
resirf('irf full upper cb state # i') = upper part of the confidence band for full impulse response of state i
resirf('irf full median state # i') = median full impulse response of state i
global GROCERDIR ; load(GROCERDIR+'\data\msirf_d.dat') rms=ms_var('all',2,['100*delts(log(us_gdp))','us_un'],2,2,3) rirf_cb=irf_cb(rms,20,99,0.1) // example taken from function msvar_irf_d: provides irf confidence bands for the msvar // estimate stored in tlist rms, at a 20 periods (quarters ) horizon, with 99 draws | ![]() | ![]() |