DoloYAML.simulate
— Methodsimulate(var::VAR1, N::Int, T::Int, x0::Vector{Float64}
stochastic::Bool=true, irf::Bool=false, e0::Vector{Float64}=zeros(0))
Construct N
simulated paths of length T
the vector autoregressive process var
, starting each simulated path from x0
.
If irf
is true
, then e0
must be a vector of the same length as var.μ
and e0
will be used as the initial shocks.
If stochastic
is true
, construct a sequence of shocks by drawing N
paths of length T
from the distribution Normal(0, var.Σ)
(where 0
is a vector of zeros of the appropriate length). Otherwise, if stochastic
is false, set all shocks to 0 (unless irf
is true – see above).
The output is an AxisArray
contining variables, paths, and time on the 3 axes