1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
|
function irfs = fn_irf_var1(G1, impact, nsteps);
%irfs = fn_irf_var1(G1, impact,nsteps);
% Inputs:
% G1: n-by-n;
% impact: n-by-r;
% nsteps: number of steps for impulse responses.
%---
% Outputs:
% irfs: nsteps-by-n-by-r. For each shock of r shocks, impulse responses are nsteps-by-n.
%
% See fn_vds.m and fn_uncondfcst_var1.m.
%
% Copyright (C) 1997-2012 Tao Zha
%
% This free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% It is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% If you did not received a copy of the GNU General Public License
% with this software, see <http://www.gnu.org/licenses/>.
%
[n,r] = size(impact);
[n1,n2] = size(G1);
if (n1 ~= n2) || (n1 ~= n)
error('fn_irf_var1.m: make sure that (1) G1 is square and (2) size(G1,1) = size(impact,1)');
end
irfs = zeros(nsteps,n,r);
%---- Impuse responses at the first step.
M = impact;
for ri=1:r
irfs(1,:,ri) = M(:,ri)';
end
for ti = 2:nsteps
M = G1*M;
for ri=1:r
irfs(ti,:,ri) = M(:,ri)';
end
end
|
