www.gusucode.com > econ 案例源码程序 matlab代码 > econ/PlotOrthogonalizedImpulseResponseFunctionOfUnivariateExample.m

    %% Plot Orthogonalized Impulse Response Function of Univariate ARMA Model 
% Plot the entire impulse response function of the univariate ARMA(2,1)
% model
%
% $$y_t = 0.3y_{t-1} - 0.1y_{t-2} + \varepsilon_t + 0.05\varepsilon_{t-1}.$$
%
%%
% Create vectors for the autoregressive and moving average coefficients as
% you encounter them in the model expressed in difference-equation notation.
AR0 = [0.3 -0.1];
MA0 = 0.05;
%%
% Plot the orthogonalized impulse response function of $y_t$.
figure;
armairf(AR0,MA0);
%%
% Because $y_t$ is univariate, you see one impulse response function in
% the plot.  The impulse response dies after four periods.
%%
% Alternatively, create an ARMA model that represents $y_t$. Specify
% that the variance of the innovations is 1, and that there is no model
% constant.
Mdl = arima('AR',AR0,'MA',MA0,'Variance',1,'Constant',0);
%%
% |Mdl| is an |arima| model object.
%%
% Plot the impulse response function using |Mdl|.
impulse(Mdl);
%%
% |impulse| uses a stem plot, whereas |armairf| uses a line plot.  However,
% the impulse response functions between the two implementations are
% equivalent.