IdentificationMethod

IdentificationMethod Abstract class for structural identification.

This abstract class specifies the interface for identification methods that recover structural models and IRFs from reduced-form models.

Required Methods

  1. irfs = identifyIrfs(obj, model, maxHorizon)
  • Identifies IRFs from the reduced form model.
  • Returns a 3D array with dimensions: (response variable, shock, horizon).
  • IRFs should be computed up to maxHorizon.
  1. [varargout] = identify(obj, model)
  • Identifies the structural form of a reduced form model.
  • For SVARs from VARs:
  • varargout{1} = A0 (contemporaneous matrix)
  • varargout{2} = APlus (lag polynomial matrix)
  • For LPs:
  • varargout{1} = coefficient estimates per horizon.

Notes

  • See the Recursive class for an example implementation.

See also Recursive, SVAR, LP