Grocer Function
NAME
irf_asy - asymptotic Impulse Response function for VAR
CALLING SEQUENCE
[irf_low,irf_upp]=irf_asy(results,mres,P,IRF,PHI,S,siz)
PARAMETERS
Input
-
results = results tlist returned by VAR
-
mres = decomposition method
-
P = matrix such that P*e = u where u is the residual from the VAR regression; e is the residual to be shocked
-
IRF = ((S+1) x T) impulse response functions
-
PHI = (N*p x T) matrix of coefficients
-
S = # of periods
- siz = size of the confidence band
Output
-
irf_low = ((S+1) x T) lower range of impulse response confidence band
-
irf_upp = ((S+1) x T) upper range of impulse response confidence band
DESCRIPTION
Calculates standard error of Impulse Response Function for VAR by means of the asymptotic formula. Note: a much simpler method is to use irf with option 'meth=asym'.
EXAMPLE
[irf_low,irf_upp]=irf_asy(results,mres,P,IRF,PHI,S,siz)
Example taken from function irf(). This is equivalent to the simpler call: irf(results,S,'meth=asym','mres=name of mres','size=siz').
AUTHOR
Eric Dubois 2002