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irf_mc1

Monte-Carlo Impulse Response function for VAR

CALLING SEQUENCE

[irf_low,irf_upp]=irf_bs(res,mres,IRF,S,ndraws,siz)

PARAMETERS

Input

* res = results tlist returned by VAR

* mres = decomposition method

* IRF = impulse response function from the estiamted VAR

* S = # of periods

* ndraws = # of draws in the simulation

* siz = size of the confidence band

 

Output

* irf_low = ((S+1)N x N) lower range of impulse response confidence band

* irf_upp = ((S+1)N x N) upper range of impulse response confidence band

DESCRIPTION

Calculates standard error of Impulse Response Function for VAR by means of bootstrap simulations on the coefficient matrix.

EXAMPLE

[irf_low,irf_upp]=irf_bootstrap(res,mres,IRF,S,ndraws,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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