makeSystemsForm

makeSystemsForm

makeSystemsForm Transform an SVARMA dynamic model into the system representation $x=Bx+\mathrm{\Omega }\epsilon$.

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.