Grocer Function
NAME
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(). Used because of its greater speed.
AUTHOR
Eric Dubois 2002