Outp = simulate(V,Inp,Range,...)
V
[ VAR ] - VAR object that will be simulated.
Inp
[ tseries | struct ] - Input data from which the initial condtions and residuals will be taken.
Range
[ numeric ] - Simulation range; must not refer to Inf
.
Outp
[ tseries ] - Simulated output data.'contributions='
[ true
| false
] - Decompose the simulated paths into the contributions of individual residuals, initial condition, the constant, and exogenous inputs; see Description.
'deviation='
[ true
| false
] - Treat input and output data as deviations from unconditional mean.
'output='
[ 'auto'
| 'dbase'
| 'tseries'
] - Format of output data.
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.
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.