irf.varshrinkest: Impulse response function

In VARshrink: Shrinkage Estimation Methods for Vector Autoregressive Models

Description

Computes the impulse response coefficients of a VAR(p) (or transformed VECM to VAR(p)) for n.ahead steps. This is a modification of vars::irf() for the class "varshrinkest".

Usage

## S3 method for class 'varshrinkest'
irf(x, impulse = NULL, response = NULL,
  n.ahead = 10, ortho = TRUE, cumulative = FALSE, boot = TRUE,
  ci = 0.95, runs = 100, seed = NULL, ...)

Arguments

x	Object of class 'varshrinkest'; generated by VARshrink()
impulse	A character vector of the impulses, default is all variables.
response	A character vector of the responses, default is all variables.
n.ahead	Integer specifying the steps.
ortho	Logical, if TRUE (the default) the orthogonalised impulse response coefficients are computed (only for objects of class 'varshrinkest').
cumulative	Logical, if TRUE the cumulated impulse response coefficients are computed. The default value is false.
boot	Logical, if TRUE (the default) bootstrapped error bands for the imuplse response coefficients are computed.
ci	Numeric, the confidence interval for the bootstrapped errors bands.
runs	An integer, specifying the runs for the bootstrap.
seed	An integer, specifying the seed for the rng of the bootstrap.
...	Currently not used.

See Also

irf

VARshrink documentation built on Oct. 9, 2019, 5:06 p.m.