ComputeGIRFs: Compute GIRFs for all models

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Compute GIRFs for all models

Description

Compute GIRFs for all models

Usage

ComputeGIRFs(
  Sigma.y,
  F1,
  BLoad,
  G0.y,
  FactorLabels,
  FacDim,
  MatLength,
  GIRFhoriz,
  YieldsLabel,
  ModelType,
  Economy = NULL,
  PI = NULL,
  Mode = FALSE
)

Arguments

Sigma.y	Variance-covariance matrix
F1	Feedback matrix
BLoad	Loading Bs
G0.y	matrix of contemporaneous terms
FactorLabels	List containing the labels of the factors
FacDim	Dimension of the P-dynamics
MatLength	Length of the maturity vector
GIRFhoriz	Horizon of the analysis
YieldsLabel	Label o yields
ModelType	desired Model type
Economy	Economy under study
PI	matrix PI for JLL-based models
Mode	allows for the orthogonalized version in the case of JLL-based models #' @references This function is a partially based on the version of the "irf" function from Smith, L.V. and A. Galesi (2014). GVAR Toolbox 2.0, available at https://sites.google.com/site/gvarmodelling/gvar-toolbox. Pesaran and Shin, 1998. "Generalized impulse response analysis in linear multivariate models" (Economics Letters)

MultiATSM documentation built on April 4, 2025, 1:40 a.m.