IdentificationMethod
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
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
.
[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