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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().

AUTHOR

Eric Dubois 2002

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