GI: Generalized Impulse Response Function (GIRF)

In FAVAR: Bayesian Analysis of a FAVAR Model

Generalized Impulse Response Function (GIRF)

Description

Compute GIRF of linear VAR by Koop et al. (1996)

Usage

GI(ma, sig_u, imp_var = 1, unit = "sd")

Arguments

ma	a list, it's MA coefficients from ar2ma
sig_u	a covariance matrix from VAR models. Note the order of variables in sig_u is same with one of ma[[i]].
imp_var	a numerical scalar which specifies the impulse variable.
unit	'sd' is one standard deviation shock which is default, and 'one' is one unit shock.

Value

a data frame, its row is variables and its column is horizons.

References

Koop, G., M.H. Pesaran and S. Potter, Impulse Response Analysis in Nonlinear Multivariate Models. Journal of Econometrics, 1996. 74: p. 119-147.

FAVAR documentation built on May 28, 2022, 1:20 a.m.