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IRF from the VARMA model
Posted: Mon Mar 01, 2010 9:57 am
by luxu1983
dear Tom
how can i get the IRF from the VARMA model
may you give me an example?
thank you very very much
Re: IRF from the VARMA model
Posted: Mon Mar 01, 2010 10:54 am
by TomDoan
How do you have the VARMA model represented? State space form or linear equations with residuals?
Re: IRF from the VARMA model
Posted: Tue Mar 02, 2010 5:01 pm
by luxu1983
TomDoan wrote:How do you have the VARMA model represented? State space form or linear equations with residuals?
dear TomDoan
it is not state space form
i estimate it using MAX L
Re: IRF from the VARMA model
Posted: Wed Mar 03, 2010 1:19 pm
by TomDoan
If there are p AR terms, with the matrices in phi(1),...,phi(p) and q MA terms with matrices theta(1),...,theta(q), then this will generate (non-orthogonal) responses for NSTEPS steps. (n is the number of variables). The IRF's for step h (starting at 1=impact) are in psi(h). For any other type of shocks, change the psi(1) to the impacts that you want.
Code: Select all
dec vect[rect] psi(nsteps)
compute psi(1)=%identity(n)
do i=1,nsteps-1
if i<=q
compute psi(i+1)=theta(i)*psi(1)
else
compute psi(i+1)=%zeros(n,n)
do j=1,%imin(p,i)
compute psi(i+1)=psi(i+1)+phi(j)*psi(i+1-j)
end do j
end do i