Library: | multi |
See also: | plotir ciirboot |
Quantlet: | impres | |
Description: | computes the forecast error impulse responses of a K-dimensional VAR(p)-model from the model parameters 'a' up to 't' time periods after the shock. |
Usage: | iaf = impres(a,t) | |
Input: | ||
a | K x (K*p) matrix, model parameters | |
t | scalar, time horizon for impulse response analysis | |
Output: | ||
iaf | (t+1) x (K^2) matrix, forecast error impulse responses |