Grocer Function

NAME

irf - Calculates Impulse Response Function for VAR

CALLING SEQUENCE

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

PARAMETERS

Input

Output

DESCRIPTION

Calculates Impulse Response Function for VAR.

EXAMPLE

1) results=var(2,'endo=del(log(rfa_inv)),del(log(rfa_inc)),del(log(rfa_cons))'); [resirf]=irf(results,10,'mres=chol1','meth=asym')
2) [resirf]=irf(results,10,'mres=original','meth=mc1','niter=1000')

Examples 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