impulse
Class: regARIMA
Impulse response of regression model with ARIMA errors
Syntax
impulse(Mdl)
impulse(Mdl,numObs)
Y = impulse(___)
Description
impulse(
plots
a discrete stem plot of the impulse response function for
the regression model with ARIMA time series errors, Mdl
)Mdl
,
in the current figure window.
impulse(
plots
the impulse response function for Mdl
,numObs
)numObs
periods.
returns
the impulse response in a column vector for any of the previous input
arguments.Y
= impulse(___)
Input Arguments

Regression model with ARIMA errors, as created by 

Number of observations to include in the impulse response, specified
as a positive integer. Default: 
Output Arguments

Impulse responses of the model

Examples
More About
Tips
To improve performance of the filtering algorithm, specify the number of observations,
numObs
, to include in the impulse response.
Algorithms
If you specify the number of observations,
numObs
,impulse
computes the impulse response by filtering a unit shock followed by an appropriate length vector of 0s. The filtering algorithm is very fast and results in an impulse response of known (numObs
) length.If you do not specify
numObs
, thenimpulse
converts the error model to a truncated, infinitedegree moving average using the relatively slow lag operator polynomial division algorithm. This produces an impulse response of generally unknown length.
References
[1] Box, G. E. P., G. M. Jenkins, and G. C. Reinsel. Time Series Analysis: Forecasting and Control 3rd ed. Englewood Cliffs, NJ: Prentice Hall, 1994.
[2] Enders, W. Applied Econometric Time Series. Hoboken, NJ: John Wiley & Sons, 1995.
[3] Hamilton, J. D. Time Series Analysis. Princeton, NJ: Princeton University Press, 1994.
[4] Lütkepohl, Helmut. New Introduction to Multiple Time Series Analysis. New York, NY: SpringerVerlag, 2007.