ssIRF#

Purpose#

Computes the impulse response functions based on the final parameters contained in the filled ssOut structure.

Format#

irf = ssIRF(ssmFinal, horizon, impulse[, orthogonalized, cumulative])#

Parameters:

ssmFinal (Struct) – a filled instance of an ssModel structure.
horizon (Scalar) – The number of impulse responses to compute.
impulse (Scalar) – The state innovation to pulse. Must be between 1 and the dimension of the state innovation with a positive definite covariance matrix.
orthogonalized (Scalar) – Optional argument, when set to anything other than 0, orthogonalized impulses are computed. Default = 0.
cumulative (Scalar) – Optional argument, when set to anything other than 0, cumulative impulses are computed. Default = 0.

Returns:

irf (Matrix) – Computed impulse responses.

Examples#

new;
library cmlmt, tsmt, sslib;

/*
** Outline the state space process
*/
// Filename
fname = getGAUSShome $+ "pkgs/tsmt/examples/enders_sim2.dat";
y = loadd(fname, "ar2");

// Set up parameter vector and start values
param_vec_st = asDF(zeros(3, 1), "param");

param_vec_st[1] = -0.322;
param_vec_st[2] = 0.433;
param_vec_st[3] = 0.0025;

// Declare shape
k_endog = 1;
k_states = 2;

// Declare ssControl structure
struct ssControl ssCtl;
ssCtl = ssControlCreate(k_states, k_endog);

// Set fixed parameters of model
ssCtl.ssm.Z = { 1 0 };
ssCtl.ssm.R[1, 1] = 1;

// Constraint variables
ssCtl.stationary_vars = 1|2;
ssCtl.positive_vars = 3;

// Call ssFit function
struct ssOut sOut;
sOut = ssFit(&updateSSModel, param_vec_st, y, ssCtl);

/*
** Impulse response functions
*/
// Number of horizons
h = 20;

// State variable to shock
impulse = 1;

// Compute IRFs
irf = ssIRF(sOut.ssmFinal, h, impulse);

// Set up procedure for updating SS model
// structure
proc (0) = updateSSModel(struct ssModel *ssmod, param);

    // Set up kalman filter matrices
    ssmod->T =  param[1 2]'|(1~0);
    ssmod->Q[1, 1] = param[3];

endp;

After running the above code, the first five impulse response are:

 1.0000000
 0.68445237
 0.0045511204
-0.31441880
-0.21731607

Remarks#

This function should be called after the ssOut structure has been filled by the ssFit() procedure.

Source#

ssmain.src