A small structural VAR package for impulse response analysis
バージョン 1.0.0.0 (19.5 KB) 作成者:
Paolo Zagaglia
This package computes impulse responses with Monte-Carlo confidence bands for a structural VAR.
This package computes and plots impulse responses and confidence intervals for a structural Vector Autoregression (VAR). The impulse responses can be obtained through four different implementations of the standard Choleski decomposition. A sample file is attached with the common example of a trivariate VAR including industrial production, inflation and a 3-month rate for the U.S. economy.
引用
Paolo Zagaglia (2024). A small structural VAR package for impulse response analysis (https://www.mathworks.com/matlabcentral/fileexchange/34358-a-small-structural-var-package-for-impulse-response-analysis), MATLAB Central File Exchange. 取得済み .
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1.0.0.0 |