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DLMIRF: RATS procedure to compute Impulse Response Function from a State-Space model

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

Computes and graphs impulse responses and error decompositions for the states in a state space model. The transition equation takes the form Y(t)=AY(t-1)+Fw(t) where F is an nxp matrix, and p is the number of fundamental shocks. The covariance matrix of w is assumed to be the identity.

Suggested Citation

  • Tom Doan, "undated". "DLMIRF: RATS procedure to compute Impulse Response Function from a State-Space model," Statistical Software Components RTS00054, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rts00054
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/dlmirf.src
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    More about this item

    Keywords

    State-space models; RATS;

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