makeSystemsForm

makeSystemsForm Transform an SVARMA dynamic model into the system representation \(x = Bx + \Omega\varepsilon\).

Arguments

  • Phi0 (matrix): The matrix of contemporaneous structural impulse responses.
  • As (cell array of matrices): A vector of reduced-form autoregressive (AR) matrices, where the first entry corresponds to the AR matrix for the first lag, etc.
  • Psis (cell array of matrices): A vector of reduced-form moving average (MA) matrices, where the first entry corresponds to the MA matrix for the first lag, etc.
  • order (vector): The vector of intergers indicating the order of variables, typically determined by the transmission matrix.
  • maxHorizon (integer): The maximum time horizon to consider for the systems form, with 0 representing the contemporaneous period.

Returns

  • B (matrix)
  • Omega (matrix)

See also makeB, makeOmega.