The following Matlab project contains the source code and Matlab examples used for inverting var parameter into ma parameters.
This routine maps the parameters estimates of a vector autogression (VAR) into those of a corresponding moving average (MA) model. The output from this function is useful for constructing the structural impulse-response functions of a VAR model.
The source code and files included in this project are listed in the project files section, please make sure whether the listed source code meet your needs there.
Project Files:
| File Name | Size |
|---|---|
| license.txt | 1314 |
| movavg_param.m | 1496 |
