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Add information on bvar_irf to bvar-a-la-sims.tex

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Johannes Pfeifer 2016-10-19 20:59:51 +02:00 committed by Stéphane Adjemian (Charybdis)
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doc/bvar-a-la-sims.tex
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@ -11,8 +11,9 @@
\begin{document}
\title{BVAR models ``\`a la Sims'' in Dynare\thanks{Copyright \copyright~2007--2016 S\'ebastien
Villemot. Permission is granted to copy, distribute and/or modify
\title{BVAR models ``\`a la Sims'' in Dynare\thanks{Copyright \copyright~2007--2015 S\'ebastien
Villemot; \copyright~2016 S\'ebastien
Villemot and Johannes Pfeifer. Permission is granted to copy, distribute and/or modify
this document under the terms of the GNU Free Documentation
License, Version 1.3 or any later version published by the Free
Software Foundation; with no Invariant Sections, no Front-Cover
@ -25,9 +26,8 @@
}}
\author{S\'ebastien Villemot\thanks{Paris School of Economics and
CEPREMAP. E-mail:
\href{mailto:sebastien@dynare.org}{\texttt{sebastien@dynare.org}}.}}
\date{First version: September 2007 \hspace{1cm} This version: March 2016}
CEPREMAP.} \and Johannes Pfeifer\thanks{University of Mannheim. E-mail: \href{mailto:pfeifer@uni-mannheim.de}{\texttt{pfeifer@uni-mannheim.de}}.}}
\date{First version: September 2007 \hspace{1cm} This version: October 2016}
\maketitle
@ -539,6 +539,22 @@ Most results are stored for future use:
\item if RMSE has been computed, results are in \texttt{oo\_.bvar.forecast.rmse}.
\end{itemize}
\subsection{Impulse Response Functions}
The syntax for computing impulse response functions is:
\medskip
\texttt{bvar\_irf(}\textit{number\_of\_lags},\textit{identification\_scheme}\texttt{);}
\medskip
The \textit{identification\_scheme} option has two potential values
\begin{itemize}
\item \texttt{'Cholesky'}: uses a lower triangular factorization of the covariance matrix (default)
\item \texttt{'SquareRoot'}: uses the Matrix square root of the covariance matrix
\end{itemize}
The mean, median, variance and confidence intervals for IRFs are saved in \texttt{oo\_.bvar.irf}
\section{Examples}
This section presents two short examples of BVAR estimations. These examples and the associated datafile (\texttt{bvar\_sample.m}) can be found in the \texttt{tests/bvar\_a\_la\_sims} directory of the Dynare v4 subversion tree.
@ -555,6 +571,8 @@ bvar_density(datafile = bvar_sample, first_obs = 20, bvar_prior_flat,
bvar_prior_train = 10) 8;
bvar_forecast(forecast = 10, bvar_replic = 10000, nobs = 200) 8;
bvar_irf(8,'Cholesky');
\end{verbatim}
Note that you must declare twice the variables used in the estimation: first with a \texttt{var} statement, then with a \texttt{varobs} statement. This is necessary to have a syntactically correct \texttt{mod} file.