compute_impulse_responses.PosteriorBSVARHMSH: Computes posterior draws of impulse responses

In bsvars: Bayesian Estimation of Structural Vector Autoregressive Models

Computes posterior draws of impulse responses

Description

Each of the draws from the posterior estimation of models from packages bsvars or bsvarSIGNs is transformed into a draw from the posterior distribution of the impulse responses.

Usage

## S3 method for class 'PosteriorBSVARHMSH'
compute_impulse_responses(posterior, horizon, standardise = FALSE)

Arguments

posterior	posterior estimation outcome - an object of class PosteriorBSVARHMSH obtained by running the estimate function.
horizon	a positive integer number denoting the forecast horizon for the impulse responses computations.
standardise	a logical value. If TRUE, the impulse responses are standardised so that the variables' own shocks at horizon 0 are equal to 1. Otherwise, the parameter estimates determine this magnitude.

Value

An object of class PosteriorIR, that is, an NxNx(horizon+1)xS array with attribute PosteriorIR containing S draws of the impulse responses.

Author(s)

Tomasz Woźniak [e-mail]

References

Kilian, L., & Lütkepohl, H. (2017). Structural VAR Tools, Chapter 4, In: Structural vector autoregressive analysis. Cambridge University Press.

See Also

estimate, normalise, summary

Examples

specification  = specify_bsvar_hmsh$new(us_fiscal_lsuw)
burn_in        = estimate(specification, 5)
posterior      = estimate(burn_in, 5)

# compute impulse responses 2 years ahead
irf           = compute_impulse_responses(posterior, horizon = 8)

# workflow with the pipe |>
############################################################
us_fiscal_lsuw |>
  specify_bsvar_msh$new() |>
  estimate(S = 5) |> 
  estimate(S = 5) |> 
  compute_impulse_responses(horizon = 4) -> irfs
  

bsvars documentation built on Aug. 22, 2026, 5:09 p.m.