impulse: impulse

In bdemeshev/bvarrKK: Translation Of Koop And Korobilis BVAR Matlab Code Into R

Description

impulse

Usage

impulse(By, smat, nstep)

Arguments

By	[neq x nvar x nlag] array. neq=nvar, of course, but the first index runs over equations. In response, the first index runs over variables, the second over shocks (in effect, equations).
smat	square matrix of initial shock vectors. To produce 'orthogonalized impulse responses' it should have the property that smat'*smat=sigma, where sigma is the Var(u(t)) matrix and u(t) is the residual vector. One way to get such a smat is to set smat=chol(sigma). To get the smat corresponding to a different ordering, use smat=chol(P*Sigma*P')*P, where P is a permutation matrix.
nstep	number of steps

Details

function response=impulse(By,smat,nstep), C. Sims' code.

Value

nvar x neq x nstep array

Examples

bvarrKK:::impulse(array(1, dim = c(2, 2, 2)), diag(2), 5)

bdemeshev/bvarrKK documentation built on May 12, 2019, 3:40 a.m.