VAR.irf: Orthogonalized impluse response functions from an estimated...

View source: R/VAR.irf.R

VAR.irfR Documentation

Orthogonalized impluse response functions from an estimated VAR(p) model

Description

This function returns Orthogonalized impluse response functions

Usage

VAR.irf(b, p, sigu, h=10,graphs=FALSE)

Arguments

b

VAR coefficient matrix, from VAR.est or similar estimation function

p

VAR order

sigu

VAR residual covariance matrix, from VAR.est or similar estimation function

h

response horizon, the default is set to 10

graphs

logical, if TRUE, show the impulse-response functions, the default is FALSE

Details

VAR impulse response functions

Value

impmat

matrix that contains orthogonalized impulse-responses

Note

See Lutkepohl (2005) for details

Author(s)

Jae H. Kim

References

Lutkepohl, H. 2005, New Introduction to Multiple Time Series Analysis, Springer

Examples


#replicating Table 3.4 and Figure 3.11 Lutkepohl (2005)
data(dat)
M=VAR.est(dat,p=2,type="const")
b=M$coef; sigu=M$sigu
VAR.irf(b,p=2,sigu,graphs=TRUE)

VAR.etp documentation built on July 2, 2022, 1:05 a.m.