transmissionIrfs

transmissionIrfs Compute the transmission effect using the IRF method.

effects = transmissionIrfs(from, irfs, irfsOrtho, varAnd, varNot, multiplier) calculates the transmission effect using impulse response functions (IRFs).

Arguments: - from (integer): Index of the shock. - irfs (matrix): Structural impulse responses (only the one of the from shock is needed). Must be a matrix which can be obtained from toTransmissionIrfs. - irfsOrtho (matrix): Cholesky IRFs that must use the ordering defined in the transmission matrix. Must be a matrix which can be obtained from toTransmissionIrfs. - varAnd (vector of integers): Indices of variables that must be included (AND conditions). Can be obtained from getVarNumsAndMultiplier. - varNot (vector of integers): Indices of variables that must be excluded (NOT conditions). Can be obtained from getVarNumsAndMultiplier. - multiplier (number): Multiplier associated with each term. Can be obtained from getVarNumsAndMultiplier.

Returns

  • effects (vector): A vector where entry i corresponds to the transmission effect on variable x_i.

Example

k = 6;
h = 3;
s = "x1";
cond = makeCondition(s);

irfs = randn(k, k, h+1);
irfsOrtho = randn(k, k, h+1);

irfs = toTransmissionIrfs(irfs);
irfsOrtho = toTransmissionIrfs(irfsOrtho);

[varAnd, varNot, multiplier] = getVarNumsAndMultiplier(cond);
effect = transmissionIrfs(1, irfs, irfsOrtho, varAnd{1}, varNot{1}, multiplier);

WARNING

Internal function. Should not be called by users directly.

See also transmission, getVarNumsAndMultiplier, makeCondition, through, notThrough