GIRF_Proba_CI: Confidence Intervals for the Probability - GIRF Analysis
In EWS: Early Warning System

Description Usage Arguments Value Author(s) References Examples

View source: R/EWS_functions.R

From the results of the Simulation_GIRF function, this function calculates the values of the upper and lower bounds of the confidence intervals, as well as the average of the different response functions for the probability.

1	GIRF_Proba_CI(results_simul_GIRF, CI_bounds, n_simul, horizon_forecast)

`results_simul_GIRF`	Matrix containing results of the Simulation_GIRF function.
`CI_bounds`	Numeric variable between 0 and 1 for the size of the confidence intervals.
`n_simul`	Numeric variable equal to the total number of replications.
`horizon_forecast`	Numeric variable corresponding to the horizon target for the GIRF analysis.

A list with:

`horizon`	Numeric vector containing the horizon targer.
`Simulation_CI_proba_shock`	a matrix containing the set of simulations of probabilities with shock belonging to the confidence interval.
`Simulation_CI_proba`	a matrix containing the set of simulations of probabilities belonging to the confidence interval.
`CI_proba_shock`	a matrix containing three columns: the lower bound of the CI, the average of the IRFs, and the upper bound of the CI for the probabilities with shock.
`CI_proba`	a matrix containing three columns: the lower bound of the CI, the average of the IRFs, and the upper bound of the CI for the probabilities.

Jean-Baptiste Hasse and Quentin Lajaunie

Lajaunie, Quentin. Generalized Impulse Response Function for Dichotomous Models. No. 2852. Orleans Economics Laboratory/Laboratoire d'Economie d'Orleans (LEO), University of Orleans, 2021.

# NOT RUN {

# Import data
data("data_USA")

# Data process
Var_Y <- as.vector(data_USA$NBER)
Var_X <- as.vector(data_USA$Spread)

# Simulation for the GIRF analysis
results_simulation <- Simul_GIRF(Var_Y, Var_X, TRUE, 1, 1, 2, 0.95, 3, "AM")

# Confidence intervals for the index
results <- GIRF_Proba_CI(results_simulation, 0.95, 2, 3)

# print results
results

#}