A small structural VAR package for impulse response analysis (Scripts) Publisher's description
from Paolo Zagaglia
This package computes and plots impulse responses
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.
System Requirements:MATLAB 7.11 (2010b)
Program Release Status: New Release
Program Install Support: Install and Uninstall