I have problem with [Response,Lower,Upper] = irf(Mdl,Nu​mObs=50,Co​nfidence=0​.9);

The problem is that i want a number of observation of 50, but ifr(_) has default value of 20 Observation

I tried different solution without success

[FRANCESCOMARIA]

clear

clc

rmpath(genpath('/Users/francescosimeone/Desktop/applied macroeconomics/project/VAR-Toolbox-main/v3dot0/'))

returns = readmatrix('database_mpshocks_infoshocks.xlsx', 'Range', 'B:H', 'NumHeaderLines', 1);

Y= returns(:, [1, 3]);

Mdl = varm(2,3);

Mdl.SeriesNames = {'Transformed real GDP','Transformed real 3-mo T-bill rate'};

EstMdl = estimate(Mdl,Y);

[YIRF,h] = armairf(EstMdl.AR,{},'InnovCov',EstMdl.Covariance);

defGDPImp = ret2price(YIRF(:,2,1));

figure;

numobs = size(defGDPImp,1);

plot(0:numobs - 1,defGDPImp);

title('Impact of Shock to Interest Rate on Deflated GDP')

ylabel('Deflated GDP');

xlabel('Time');

rng(1); % For reproducibility

%[Response,Lower,Upper] = irf(EstMdl);

[Response, Lower, Upper] = irf(EstMdl, 'Confidence', 0.68);

irfshock2resp3 = Response(:,1,2);

IRFCIShock2Resp3 = [Lower(:,1,2) Upper(:,1,2)];

figure;

h1 = plot(0:19,irfshock2resp3);

hold on

h2 = plot(0:19,IRFCIShock2Resp3,"r--");

legend([h1 h2(1)],["IRF" "68% Confidence Interval"])

xlabel("Time Index");

ylabel("Response");

title("IRF of IB When Y Is Shocked");

grid on

hold off

Answer 1

[Animesh]

Hey @FRANCESCOMARIA

To change the number of observations in the IRFs, you can pass an additional argument to the irf function indicating the number of steps you want to forecast. By default, irf computes 20 steps, but you can set it to 50 by doing the following:

[Response, Lower, Upper] = irf(EstMdl, 'NumPeriods', 50, 'Confidence', 0.68);

You may refer to the following documentation for more information:

irf : https://in.mathworks.com/help/econ/ssm.irf.html