bootstrap_irf: Empirical estimation of PVAR Impulse Response Confidence...

In panelvar: Panel Vector Autoregression

Empirical estimation of PVAR Impulse Response Confidence Bands

Description

Uses blockwise sampling of individuals (bootstrapping).

Usage

bootstrap_irf(
  model,
  typeof_irf,
  n.ahead,
  nof_Nstar_draws,
  confidence.band,
  mc.cores
)

## S3 method for class 'pvargmm'
bootstrap_irf(
  model,
  typeof_irf = c("OIRF", "GIRF"),
  n.ahead,
  nof_Nstar_draws,
  confidence.band = 0.95,
  mc.cores = getOption("mc.cores", 2L)
)

## S3 method for class 'pvarfeols'
bootstrap_irf(
  model,
  typeof_irf = c("OIRF", "GIRF"),
  n.ahead,
  nof_Nstar_draws,
  confidence.band = 0.95,
  mc.cores = getOption("mc.cores", 2L)
)

Arguments

model	A PVAR model
typeof_irf	"OIRF" or GIRF
n.ahead	n ahead steps
nof_Nstar_draws	Number of draws
confidence.band	Confidence band
mc.cores	Number of cores to use

Examples

## Not run: 
data("ex1_dahlberg_data")
ex1_dahlberg_data_bs <-  bootstrap_irf(ex1_dahlberg_data, typeof_irf = c("GIRF"),
                                       n.ahead = 8,
                                       nof_Nstar_draws = 500,
                                       confidence.band = 0.95,
                                       mc.cores = 100)
                                           
                                           

## End(Not run)
data("ex1_dahlberg_data")
ex1_dahlberg_data_girf <-  girf(ex1_dahlberg_data, n.ahead = 8, ma_approx_steps= 8)
data("ex1_dahlberg_data_bs")
plot(ex1_dahlberg_data_girf, ex1_dahlberg_data_bs)

panelvar documentation built on Jan. 6, 2023, 1:17 a.m.