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irf

Calculates Impulse Response Function for VAR

CALLING SEQUENCE

res=irf(results,S,arg1,...,argn)

PARAMETERS

Input

* results = results tlist returned by VAR

* S = scalar for number of periods in IRF

* argi = optional argument which can be:

  - 'mres=x' where:

 * x = chol1 (cholesky decomposition)

 * x = chol2 (triangular factorisation)

 * x = original (original residuals)

(default = chol1)

  - 'meth=x' where:

    . x = asym (asymptotic formula)

    . x = bootstrap (Bootstrap simulations using draws from the coefficients)

(default = asym)

  - 'niter=x' where x= # iterations for the Monte-Carlo simulations (if any; default=1000)

  - 'size=x' where x = significance level for the confidence band (default =0.05)

 

Output

* res = a results tlist with:

  - res('meth') = 'irf'

  - res('mres') = decomposition method

  - res('T') = # of periods represented

  - res('IRF') = ((S+1) x T) impulse response functions

  - res('IRF_LOW') = ((S+1) x T) lower range of impulse response confidence band

  - res('IRF_UPP') = ((S+1) x T) upper range of impulse response confidence band

  - res('PHI') = (N*p x T) matrix of coefficients

  - res('resvar') = results tlist of the originating VAR

  - res('msg') = message inidicating the nature of the decomposition

  - res('size') = size of the confidence band

  - res('ans_vari_to_shockj') = answer of variable i to schock j, for i=1:nvariables, j=1:nvariables

DESCRIPTION

Calculates Impulse Response Function for VAR.

EXAMPLE

load(GROCERDIR+'/data/lutk1.dat')
bounds('1960q4','1978q4')
results=VAR(2,'endo=delts(log(rfa_inv));delts(log(rfa_inc));delts(log(rfa_cons))')
[resirf]=irf(results,10,'mres=chol1','meth=asym')
[resirf]=irf(results,10,'mres=original','meth=mc1','niter=1000')
 
// Example taken from function var_d(). In the first one, impulse response is calculated for 10 periods, with shocks calculated from a
// Choleski decomposition, with the asymptotic formula. In the second one, impulse response is calulated for 10 periods, with original
// unorthogonalized shocks, using 1000 draws from the coefficients estimated law.

AUTHOR

Eric Dubois 2002

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