Class: regARIMA
Impulse response of regression model with ARIMA errors
impulse(Mdl)
impulse(Mdl,numObs)
Y = impulse(___)
impulse(
plots
a discrete stem plot of the impulse response function for
the regression model with ARIMA time series errors, Mdl
)Mdl
,
in the current figure window.
impulse(
plots
the impulse response function for Mdl
,numObs
)numObs
periods.
returns
the impulse response in a column vector for any of the previous input
arguments.Y
= impulse(___)

Regression model with ARIMA errors, as created by 

Number of observations to include in the impulse response, specified
as a positive integer. Default: 

Impulse responses of the model

To improve performance of the filtering algorithm,
specify the number of observations, numObs
, to
include in the impulse response.
If you specify the number of observations, numObs
, impulse
computes
the impulse response by filtering a unit shock followed by an appropriate
length vector of 0s. The filtering algorithm is very fast and results
in an impulse response of known (numObs
) length.
If you do not specify numObs
, then impulse
converts
the error model to a truncated, infinitedegree moving average using
the relatively slow lag operator polynomial division algorithm. This
produces an impulse response of generally unknown length.
[1] Box, G. E. P., G. M. Jenkins, and G. C. Reinsel. Time Series Analysis: Forecasting and Control 3rd ed. Englewood Cliffs, NJ: Prentice Hall, 1994.
[2] Enders, W. Applied Econometric Time Series. Hoboken, NJ: John Wiley & Sons, 1995.
[3] Hamilton, J. D. Time Series Analysis. Princeton, NJ: Princeton University Press, 1994.
[4] Lütkepohl, H. New Introduction to Multiple Time Series Analayis. New York, NY: SpringerVerlag, 2007.