image thumbnail

A small structural VAR package for impulse response analysis

version 1.0.0.0 (19.5 KB) by Paolo Zagaglia
This package computes impulse responses with Monte-Carlo confidence bands for a structural VAR.

3.1K Downloads

Updated 27 Dec 2011

View License

This package computes and plots impulse responses and confidence intervals for a structural Vector Autoregression (VAR). The impulse responses can be obtained through four different implementations of the standard Choleski decomposition. A sample file is attached with the common example of a trivariate VAR including industrial production, inflation and a 3-month rate for the U.S. economy.

Cite As

Paolo Zagaglia (2021). A small structural VAR package for impulse response analysis (https://www.mathworks.com/matlabcentral/fileexchange/34358-a-small-structural-var-package-for-impulse-response-analysis), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2010b
Compatible with any release
Platform Compatibility
Windows macOS Linux

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!