ISmVectorAutoRegress.ImpulseAROrder

Syntax

ImpulseAROrder: Integer;

Description

The ImpulseAROrder property determines the autoregression order for an impulse function.

Comments

If both ImpulseAROrder and ImpulsePeriod properties are defined, values of the ISlEquation.AutoRegressionOrder parameter is ignored, the model is calculated with the autoregression order 1, 2, 3, … ImpulseAROrder, and a matrix of values for the impulse response function ISlEquation.ImpulseMatrix is also 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, Endogenous2, Endogenous3

ar1[0] := 3; ar2[0] := 5; ar3[0] := 7;

ar1[1] := 8; ar2[1] := 3; ar3[1] := 2;

ar1[2] := 12; ar2[2] := 9; ar3[2] := 11;

ar1[3] := 10; ar2[3] := 13; ar3[3] := 14;

ar1[4] := 26; ar2[4] := 25; ar3[4] := 18;

ar1[5] := 21; ar2[5] := 21; ar3[5] := 22;

ar1[6] := 35; ar2[6] := 30; ar3[6] := 32;

ar1[7] := 29; ar2[7] := 33; ar3[7] := 28;

ar1[8] := 40; ar2[8] := 43; ar3[8] := 39;

ar1[9] := 39; ar2[9] := 37; ar3[9] := 44;

ar1[10] := 51; ar2[10] := 49; ar3[10] := 50;

ar1[11] := 50; ar2[11] := 47; ar3[11] := 54;

ar1[12] := 59; ar2[12] := 60; ar3[12] := 58;

ar1[13] := 58; ar2[13] := 59; ar3[13] := 57;

ar1[14] := 65; ar2[14] := 69; ar3[14] := 71;

ar1[15] := 72; ar2[15] := 68; 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;

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

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