Inverting VAR parameter into MA parameters

Version 1.0.0.0 (1.4 KB) by Paolo Zagaglia
A function to invert vector autoregressive model parameters into moving average model parameters.
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Updated 1 Jan 2012

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This routine maps the parameters estimates of a vector autogression (VAR) into those of a corresponding moving average (MA) model. The output from this function is useful for constructing the structural impulse-response functions of a VAR model.

Cite As

Paolo Zagaglia (2026). Inverting VAR parameter into MA parameters (https://www.mathworks.com/matlabcentral/fileexchange/34409-inverting-var-parameter-into-ma-parameters), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2010b
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
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Version Published Release Notes
1.0.0.0