VARXirf: Impluse response function of a fitted VARX model

In MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

Impluse response function of a fitted VARX model

Description

Compute the impulse response functions and cumulative impulse response functions of a fitted VARX model

Usage

VARXirf(model,lag=12,orth=TRUE)

Arguments

model	An output of the VARX (or refVARX) command for a vector time series with exogeneous variables
lag	The number of lags of the impulse response function to be computed. Default is 12.
orth	The control variable for using orthogonal innovations. This command applies to the impulse response functions of the VAR part only.

Details

Compute the impulse response functions and cumulative impulse response functions of a fitted VARX model. The impulse response function of the exogeneous variables are also given. The plots of impulse response functions are shown.

Value

irf	Impulse response functions of the VAR part, original innovations used
orthirf	Impulse response functions of the VAR part using orthogonal innovations
irfX	Impulse response function of the exogenous variables

Author(s)

Ruey S. Tsay

References

Tsay (2014). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

MTS documentation built on April 11, 2022, 5:07 p.m.