Grocer Function
NAME
irf_mc1 - Monte-Carlo Impulse Response function for VAR
CALLING SEQUENCE
[irf_low,irf_upp]=irf_mc1(res,mres,S,N,p,niter,siz)
PARAMETERS
Input
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results = results tlist returned by VAR
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mres = decomposition method
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N = # of endogenous variables in the VAR
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S = # of periods
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p = # of lags in the VAR
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niter = # of draws in the simulation
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siz = size of the confidence band
Output
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irf_low = ((S+1) x T) lower range of impulse response confidence band
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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 Monte-Carlo simulations on the coefficient matrix.
EXAMPLE
[irf_low,irf_upp]=irf_mc1(results,mres,S,N,p,niter,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