Hello Sipe
From what I gather, you are using ECB’s BEAR toolbox to perform forecasting using BVAR analysis. You are producing impulse response functions using all the shocks but you need to produce them for a single shock.
In BEAR Toolbox, for conditional forecasting using BVAR, the standard methodology considers all shocks to produce the impulse response functions. The toolbox also has the methodology to use specific shocks for forecasting. This can be done by editing the input EXCEL file.
To use specific shocks, follow the steps listed below:
- First set up the “conditions” sheet of the file in the same way as you’d have done for the run using all the shocks.
- Additionally, you’d need to set up the “shocks” and “blocks” sheet to forecast over specific shocks.
- In the “shocks” sheet, specify the shocks that generate the conditions. If multiple shocks are responsible for a condition, separate them with a space. Conditions for a variable can be created by different shocks across various periods. There is no restriction that the same shocks must be used consistently for a variable.
- In the "blocks" sheet, assign a block number to each variable with a condition for each period. This block number indicates the group to which the variable's condition belongs. Block definitions for each period are determined by the user.
Setting up the input EXCEL file in the above manner will help you to produce impulse response functions using specific shocks.
For more details, follow the link below to the user guide of BEAR Toolbox. From the list of contents, jump to the section 4.7.2 “4.7.2 Standard methodology (shock-specific).”
IRFs can be produced for VARs using in-built MATLAB function “irf”. You can refer the documentation for further details by accessing the following link.
I hope you find the above explanation and suggestions useful!
