irf_create.hlp

是一个经济学管理应用软件 很难找的 但是经济学学生又必须用到

{smcl}
{* 08mar2005}{...}
{cmd:help irf create}{right:dialog:  {bf:{dialog irf_create:irf create}}}
{hline}

{title:Title}

{p2colset 5 24 26 2}{...}
{p2col:{hi:[TS] irf create} {hline 2}}Obtain impulse-response functions and
FEVDs{p_end}
{p2colreset}{...}


{title:Syntax}

{pstd}
After {cmd:var}

{p 8 22 2}
{cmd:irf}
{opt cr:eate}
{it:irfname}
[{cmd:,}
{it:{help irf_create##var_options:var_options}}]


{pstd}
After {cmd:svar}

{p 8 22 2}
{cmd:irf}
{opt cr:eate}
{it:irfname}
[{cmd:,}
{it:{help irf_create##svar_options:svar_options}}]


{pstd}
After {cmd:vec}

{p 8 22 2}
{cmd:irf}
{opt cr:eate}
{it:irfname}
[{cmd:,}
{it:{help irf_create##vec_options:vec_options}}]

{phang}
{it:irfname} is any valid name that does not exceed 15 characters in length.

{synoptset 32 tabbed}{...}
{marker var_options}{...}
{synopthdr:var_options}
{synoptline}
{syntab:Main}
{synopt:{cmd:set(}{it:filename}[{cmd:, replace}]{cmd:)}}make {it:filename}
active{p_end}
{synopt:{opt replace}}replace {it:irfname} if it already exists{p_end}
{synopt:{opt st:ep(#)}}set forecast horizon to {it:#}; default is {cmd:step(8)}{p_end}
{synopt:{opth o:rder(varlist)}}specify Cholesky ordering of endogenous
variables{p_end}
{synopt:{opt est:imates(estname)}}use previously saved results {it:estname};
default is to use active results{p_end}

{syntab:Std. Errors}
{synopt:{opt nose}}do not calculate standard errors{p_end}
{synopt:{opt bs}}obtain standard errors from bootstrapped residual{p_end}
{synopt:{opt bsp}}obtain standard errors from parametric bootstrap{p_end}
{synopt:{opt r:eps(#)}}use {it:#} bootstrap replications; default {cmd:reps(200)}{p_end}
{synopt:{opt nod:ots}}do not display "{cmd:.}" for each bootstrap replication{p_end}
{synopt:{cmdab:bsa:ving(}{it:filename}[{cmd:, replace}]{cmd:)}}save bootstrap results in {it:filename}{p_end}
{synoptline}

{marker svar_options}{...}
{synopthdr:svar_options}
{synoptline}
{syntab:Main}
{synopt:{cmd:set(}{it:filename}[{cmd:, replace}]{cmd:)}}make {it:filename} active{p_end}
{synopt:{opt replace}}replace {it:irfname} if it already exists{p_end}
{synopt:{opt st:ep(#)}}set forecast horizon to {it:#}; default is {cmd:step(8)}{p_end}
{synopt:{opt est:imates(estname)}}use previously saved results {it:estname};
default is to use active results{p_end}

{syntab:Std. Errors}
{synopt:{opt nose}}do not calculate standard errors{p_end}
{synopt:{opt bs}}obtain standard errors from bootstrapped residual{p_end}
{synopt:{opt bsp}}obtain standard errors from parametric bootstrap{p_end}
{synopt:{opt r:eps(#)}}use {it:#} bootstrap replications; default {cmd:reps(200)}{p_end}
{synopt:{opt nod:ots}}do not display "{cmd:.}" for each bootstrap replication{p_end}
{synopt:{cmdab:bsa:ving(}{it:filename}[{cmd:, replace}]{cmd:)}}save bootstrap results in {it:filename}{p_end}
{synoptline}

{marker vec_options}{...}
{synopthdr:vec_options}
{synoptline}
{syntab:Main}
{synopt:{cmd:set(}{it:filename}[{cmd:, replace}]{cmd:)}}make {it:filename}
active{p_end}
{synopt:{opt replace}}replace {it:irfname} if it already exists{p_end}
{synopt:{opt st:ep(#)}}set forecast horizon to {it:#}; default is {cmd:step(8)}{p_end}
{synopt:{opt est:imates(estname)}}use previously saved results {it:estname}; default is to use active results{p_end}
{synoptline}
{p2colreset}{...}

{p 4 6 2}
The default is to use asymptotic standard errors if no options are
   specified.{p_end}
{p 4 6 2}
{opt irf create} is for use after fitting a model with the {helpb var},
   {helpb svar}, or {helpb vec} commands.{p_end}
{p 4 6 2}
You must {helpb tsset} your data before using {helpb var}, {helpb svar}, or
   {helpb vec} and, hence, before using {opt irf create}.{p_end}


{title:Description}

{pstd}
{opt irf create} estimates multiple sets of impulse-response functions (IRFs)
and forecast-error variance decompositions (FEVDs) following estimation by
{helpb var}, {helpb svar}, or {helpb vec}.  These estimates and their standard
errors are known collectively as IRF results and are stored in an IRF file
under the specified {it:irfname}.

{pstd}
The following types of impulse-response functions are stored:

{p2colset 8 42 44 2}{...}
{p2col:simple IRFs}following {helpb svar}, {helpb var}, or {helpb vec}{p_end}
{p2col:orthogonalized IRFs}following {helpb svar}, {helpb var}, or {helpb vec}{p_end}
{p2col:cumulative IRFs}following {helpb svar}, {helpb var}, or {helpb vec}{p_end}
{p2col:cumulative, orthogonalized IRFs}following {helpb svar}, {helpb var}, or {helpb vec}{p_end}
{p2col:structural IRFs}following {helpb svar} only{p_end}
{p2colreset}{...}

{pstd}
The following types of forecast-error variance decompositions are stored:

{p2colset 8 42 44 2}{...}
{p2col:Cholesky FEVDs}following {helpb svar}, {helpb var}, or {helpb vec}{p_end}
{p2col:structural FEVDs}following {helpb svar} only{p_end}
{p2colreset}{...}

{pstd}
Once you have created a set of IRF results, use the other {helpb irf} commands
to analyze them.


{title:Options}

{dlgtab:Main}

{phang}
{cmd:set(}{it:filename}[{cmd:, replace}]{cmd:)}
    specifies the IRF file to be used.  If {opt set()} is not 
    specified, the active IRF file is used; see {helpb irf set}.

{pmore}
    If {opt set()} is specified, the specified file becomes the 
    active file, just as if you had issued an {helpb irf set} command.

{phang}
{opt replace} specifies that the results stored under {it:irfname} may be 
    replaced, if they already exist.  IRF results are saved in files, and a
    single file may contain multiple IRF results.

{phang}
{opt step(#)} specifies the step (forecast) horizon; the default is 8
    periods.
    
{phang}
{opth order(varlist)} is allowed only following estimation by 
    {helpb var}; it specifies the Cholesky ordering of the endogenous variables
    to be used when estimating the orthogonalized impulse-response
    functions.  By default, the order in which the variables were originally
    specified on the {helpb var} command is used. 

{phang}
{opt estimates(estname)} specifies that estimation results 
    previously estimated by {helpb svar}, {helpb var}, or {helpb vec}, and
    stored by {helpb estimates}, be used.  This option is rarely specified.

{dlgtab:Std. Errors}

{phang}
{opt nose}, {opt bs}, and {opt bsp} are alternatives that specify how
    (whether) standard errors are to be calculated.  If none of these
    options is specified, asymptotic standard errors are calculated, except
    in two cases:  following estimation by {helpb vec} and following
    estimation by {helpb svar} in which long-run constraints were applied.
    In those two cases, the default is as if {opt nose} were specified,
    although in the second case, you could specify {opt bs} or {opt bsp}.
    Following estimation by {helpb vec}, standard errors are simply not
    available.

{phang2}
    {opt nose} specifies that no standard errors be calculated.

{phang2}
    {opt bs} specifies that standard errors be calculated by bootstrapping
    the residuals.  {opt bs} may not be specified if there are gaps in the
    data.

{phang2}
    {opt bsp} specifies that standard errors be calculated via a
    multivariate-normal parametric bootstrap.  {opt bsp} may not be
    specified if there are gaps in the data.

{phang}
{opt reps}, {opt nodots}, and {cmd:bsaving(}{it:filename}[, {cmd:replace}]{cmd:)}
   are relevant only if {opt bs} or {opt bsp} is specified.

{phang2}
    {opt reps(#)}, {it:#} > 50, specifies the number of bootstrap
    replications to be performed.  {cmd:reps(200)} is the default.

{phang2}
    {opt nodots} specifies that dots not be displayed each time 
    {opt irf create} performs a bootstrap replication.

{phang2}
    {cmd:bsaving(}{it:filename}[{cmd:, replace}]{cmd:)} specifies that
    file {it:filename} be created and the bootstrap replications be saved 
    in it.  New file {it:filename} is just a {opt .dta} dataset that can 
    be subsequently loaded using {helpb use}.  If {it:filename} is specified
    without an extension, {opt .dta} is assumed.


{title:Examples}

{phang}{cmd:. irf create results1, order(dlincome dlinvestment dlconsumption) }{p_end}

{phang}{cmd:. irf create results2, bs step(12)}{p_end}


{title:Also see}

{psee}
Manual:  {bf:[TS] irf create}

{psee}
Online:  
{helpb svar},
{helpb var},
{helpb varbasic}, 
{helpb vec};
{helpb irf add},
{helpb irf cgraph},
{helpb irf ctable},
{helpb irf describe},
{helpb irf drop},
{helpb irf graph},
{helpb irf ograph},
{helpb irf rename},
{helpb irf set},
{helpb irf table}
{p_end}