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

Sub Main;

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 Main;

After executing the example the console window displays impulse matrix for the first equation.

Module execution started

Status = 0

Errors = No errors

== IMPULSE MATRIX 1 ==

0: 5.8210734347857747, 0, 0,

1: 4.7254838309991269, 1.2383321318793281, 2.6820853585513604,

2: 5.9075270312058059, 1.0779088108003716, 1.6549290337899745,

3: 6.1589812302649936, 1.2798916217967296, 2.3518675511390472,

4: 6.8688532037234804, 1.3605275651990483, 2.350215937995614,

5: 7.4659376074868238, 1.5058786773330226, 2.6652313651194883,

6: 8.1939119743921545, 1.6414366188806042, 2.8790029169578659,

7: 8.9599782425868462, 1.7995470093648307, 3.1671793576593283,

8: 9.8112285544027475, 1.9685903751252565, 3.4602110321587385,

9: 10.737739182962329, 2.1552869084727471, 3.7902238564618638,

======

Module execution finished