ISlEquation.ImpulseMatrix

Syntax

ImpulseMatrix: Array;

Description

The ImpulseMatrix property returns matrix of impulse response function values.

Comments

To calculate the matrix, define the following properties: ISmVectorAutoRegress.ImpulseAROrder and ISmVectorAutoRegress.ImpulsePeriod.

If at least one of the parameters ImpulseAROrder or ImpulsePeriod is not specified, a vector autoregressive model is calculated, model autoregression is defined by the ISlEquation.AutoRegressionOrder vector, and ImpulseMatrix is not calculated.

When both ImpulseAROrder and ImpulsePeriod are specified, the values of the AutoRegressionOrder parameter are ignored, and the model is calculated with autoregression of the type 1, 2, 3, … ImpulseAROrder. ImpulseMatrix is calculated.

Example

To execute the example, add a link to the Stat system assembly.

Sub UserProc;
Var
    ar1, ar2, ar3: Array[0..15] Of Double;
    i,j,status: Integer;
    d: Double;
    var1: ISmVectorAutoRegress;
    Eqs: ISlEquations;
    Eq: ISlEquation;
    ARO: Array[0..0] Of Integer;
Begin
    //Endogenous1
    ar1[0] := 3;
    ar1[1] := 8;
    ar1[2] := 12;
    ar1[3] := 10;
    ar1[4] := 26;
    ar1[5] := 21;
    ar1[6] := 35;
    ar1[7] := 29;
    ar1[8] := 40;
    ar1[9] := 39;
    ar1[10] := 51;
    ar1[11] := 50;
    ar1[12] := 59;
    ar1[13] := 58;
    ar1[14] := 65;
    ar1[15] := 72;
    //Endogenous2
    ar2[0] := 5;
    ar2[1] := 3;
    ar2[2] := 9;
    ar2[3] := 13;
    ar2[4] := 25;
    ar2[5] := 21;
    ar2[6] := 30;
    ar2[7] := 33;
    ar2[8] := 43;
    ar2[9] := 37;
    ar2[10] := 49;
    ar2[11] := 47;
    ar2[12] := 60;
    ar2[13] := 59;
    ar2[14] := 69;
    ar2[15] := 68;
    //Endogenous3
    ar3[0] := 7;
    ar3[1] := 2;
    ar3[2] := 11;
    ar3[3] := 14;
    ar3[4] := 18;
    ar3[5] := 22;
    ar3[6] := 32;
    ar3[7] := 28;
    ar3[8] := 39;
    ar3[9] := 44;
    ar3[10] := 50;
    ar3[11] := 54;
    ar3[12] := 58;
    ar3[13] := 57;
    ar3[14] := 71;
    ar3[15] := 72;
    var1 := New SmVectorAutoRegress.Create;
    Eqs := var1.Equations;
    Eq := Eqs.Add;
    Eq.Serie.Value := ar1;
    Eq.AutoRegressionOrder := ARO;
    Eq := Eqs.Add;
    Eq.Serie.Value := ar2;
    Eq := Eqs.Add;
    Eq.Serie.Value := ar3;
    var1.ModelPeriod.FirstPoint := 1;
    var1.ModelPeriod.LastPoint := 16;
    var1.ImpulseAROrder := 1;
    var1.ImpulsePeriod := 10;
    status := var1.Execute;
    Debug.Writeline("Status = " + status.tostring);
    Debug.Writeline("Errors = " + var1.Errors);
    Debug.WriteLine(" == IMPULSE MATRIX 1 == ");
    For i := 0 To var1.ImpulsePeriod-1 Do //by observations (rows)
        Debug.Write(i.ToString+ ": ");
        For j := 0 To var1.Equations.Count-1 Do //by variables (columns)
            d := var1.Equations.Item(0).ImpulseMatrix[i,j];
            Debug.Write(d.ToString + ", ");
        End For;
        Debug.WriteLine(" ");
    End For;
    Debug.WriteLine("======");
End Sub UserProc;

Executing the example shows the impulse matrix for the first equation in the console window:

Unit execution started

Status = 0

Errors = No errors

 == IMPULSE MATRIX 1 ==

0: 5.82107343478578, 0, 0,  

1: 4.72548383099913, 1.23833213187933, 2.68208535855136,  

2: 5.90752703120581, 1.07790881080037, 1.65492903378997,  

3: 6.158981230265, 1.27989162179673, 2.35186755113905,  

4: 6.8688532037235, 1.36052756519905, 2.35021593799561,  

5: 7.46593760748684, 1.50587867733303, 2.66523136511949,  

6: 8.19391197439218, 1.64143661888061, 2.87900291695787,  

7: 8.95997824258687, 1.79954700936484, 3.16717935765933,  

8: 9.81122855440278, 1.96859037512526, 3.46021103215874,  

9: 10.7377391829624, 2.15528690847276, 3.79022385646187,  

======

Unit execution finished

See also:

ISlEquation