MONTEVAR—Monte Carlo integration for standard VAR

[TomDoan]

@MONTEVAR computes and graphs error bands for impulse response functions for a VAR using Monte Carlo simulation. This assumes the model is a symmetric VAR estimated using the ESTIMATE instruction. By default, @MONTEVAR does a Cholesky factorization, though it can easily be adapted to other situations by using the FFUNCTION option to provide a function to compute an alternative factorization.

This combines the functions of @MCVARDODRAWS and @MCGRAPHIRF for simple models. If you need more options (for instance, more flexibility on the graphs), use those.

Detailed Description