IRIS Toolbox Reference Manual

simulate

Simulate VAR model

Syntax

Outp = simulate(V,Inp,Range,...)

Input arguments

Output arguments

Options

Description

Backward simulation (backcast)

If the Range is a vector of decreasing dates, the simulation is performed backward. The VAR object is first converted to its backward representation using the function backward, and then the data are simulated from the latest date to the earliest date.

Simulation of contributions

With the option 'contributions=' true, the output database contains Ne+2 columns for each variable, where Ne is the number of residuals. The first Ne columns are the contributions of the individual shocks, the (Ne+1)-th column is the contribution of initial condition and the constant, and the last, (Ne+2)-th columns is the contribution of exogenous inputs.

Contribution simulations can be only run on VAR objects with one parameterization.

Example