IRF.VECM: Calculate impulse responses from a fable model

In fable: Forecasting Models for Tidy Time Series

Calculate impulse responses from a fable model

Description

Simulates future paths from a dataset using a fitted model. Innovations are sampled by the model's assumed error distribution. If bootstrap is TRUE, innovations will be sampled from the model's residuals. If new_data contains the .innov column, those values will be treated as innovations.

Usage

## S3 method for class 'VECM'
IRF(x, new_data, specials, impulse = NULL, orthogonal = FALSE, ...)

Arguments

x	A fitted model.
new_data	A tsibble containing the time points and exogenous regressors to produce forecasts for.
specials	(passed by fabletools::forecast.mdl_df()).
impulse	A character string specifying the name of the variable that is shocked (the impulse variable).
orthogonal	If TRUE, orthogonalised impulse responses will be computed.
...	Other arguments passed to methods

fable documentation built on Sept. 25, 2024, 1:08 a.m.