www.gusucode.com > econ 案例源码程序 matlab代码 > econ/StoreanImpulseResponseFunction2Example.m
%% Store an Impulse Response Function % Copyright 2015 The MathWorks, Inc. %% % Specify the following regression model with ARMA(2,1) errors: % % $$\begin{array}{*{20}{l}} % \begin{array}{c} % {y_t} = {X_t}\left[ {\begin{array}{*{20}{c}} % {0.1}\\ % { - 0.2} % \end{array}} \right] + {u_t}\\ % {u_t} = 0.5{u_{t - 1}} - 0.8{u_{t - 2}} + {\varepsilon _t} - 0.5{\varepsilon _{t - 1}}, % \end{array} % \end{array}$$ % % where $\varepsilon_{t}$ is Gaussian with variance 0.1. Mdl = regARIMA('Intercept',0, 'AR', {0.5 -0.8}, ... 'MA',-0.5,'Beta',[0.1 -0.2], 'Variance',0.1); %% % Store the impulse response function for 15 periods. Y = impulse(Mdl,15) %% % The length of the output impulse response series is |numObs|.