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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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@ -11,8 +11,9 @@
\begin{document} \begin{document}
\title{BVAR models ``\`a la Sims'' in Dynare\thanks{Copyright \copyright~2007--2016 S\'ebastien \title{BVAR models ``\`a la Sims'' in Dynare\thanks{Copyright \copyright~2007--2015 S\'ebastien
Villemot. Permission is granted to copy, distribute and/or modify 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 this document under the terms of the GNU Free Documentation
License, Version 1.3 or any later version published by the Free License, Version 1.3 or any later version published by the Free
Software Foundation; with no Invariant Sections, no Front-Cover Software Foundation; with no Invariant Sections, no Front-Cover
@ -25,9 +26,8 @@
}} }}
\author{S\'ebastien Villemot\thanks{Paris School of Economics and \author{S\'ebastien Villemot\thanks{Paris School of Economics and
CEPREMAP. E-mail: CEPREMAP.} \and Johannes Pfeifer\thanks{University of Mannheim. E-mail: \href{mailto:pfeifer@uni-mannheim.de}{\texttt{pfeifer@uni-mannheim.de}}.}}
\href{mailto:sebastien@dynare.org}{\texttt{sebastien@dynare.org}}.}} \date{First version: September 2007 \hspace{1cm} This version: October 2016}
\date{First version: September 2007 \hspace{1cm} This version: March 2016}
\maketitle \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}. \item if RMSE has been computed, results are in \texttt{oo\_.bvar.forecast.rmse}.
\end{itemize} \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} \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. 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_prior_train = 10) 8;
bvar_forecast(forecast = 10, bvar_replic = 10000, nobs = 200) 8; bvar_forecast(forecast = 10, bvar_replic = 10000, nobs = 200) 8;
bvar_irf(8,'Cholesky');
\end{verbatim} \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. 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.