Description Usage Arguments Details Value Note Author(s) See Also Examples
Generates plots of impulse responses with error bands from VAR posterior draws
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irfdraws |
A draws x steps x nvar array of posterior impulse responses. |
type |
A string, either "median" or "mean" response, specifying the type of response to be plotted. The default is "median". |
labels |
A list of variable labels for impulse response plots. The default are the variable names of the model. |
save |
A logical statement to save the graph in the current working directory. The default is 'FALSE'. |
bands |
A list of length 2 containing the error bands of the impulse responses. If bands='NULL', only IRFs are plotted. The default is c(0.16, 0.84). |
grid |
A logical statement on whether or not to generate grid lines in the plots. The default is 'TRUE'. |
bw |
A logical statement on whether or not to generate black and white or colour graphs. The default is 'FALSE'. |
This function generates plots of impulse responses with error bands from VAR posterior draws produced by a Bayesian VAR model.
The function returns a plot of the IRFs with user-selected percentiles.
Users should consult the reference papers and the package vignette for more information.
Christian Danne
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 | ## Not run:
# Replication of Figure 5 of Uhlig (2005)
set.seed(12345)
data(uhligdata)
# variable labels for plots
vl <- c("GDP","GDP Deflator","Comm.Pr.Index","Fed Funds Rate",
"NB Reserves", "Total Reserves")
# estimates the model
model0 <- rfbvar(Y=uhligdata, nlags=12, draws=1000, constant=FALSE,
steps=60, shock=4)
# get posterior draws
irfs0 <- model0$IRFS
# plot impulse response functions
irfplot(irfdraws=irfs0, type="mean", labels=vl, save=FALSE, bands=c(0.16, 0.84),
grid=TRUE, bw=FALSE)
## End(Not run)
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