Compute impulse response for time-varying A,B matrices

Compute impulse response for time-varying A,B matrices

Usage

impulse_response_dynamic(Aarray, Barray, S, t0, H)

Arguments

Aarray

Cube of A matrices over time (m x m x T)

Barray

Cube of B matrices over time (m x m x T)

S

Shock matrix (m x m)

t0

Time index of shock (0-based)

H

Number of horizons to compute

Value

Cube of impulse responses (m x m x H+1)