girf | R Documentation |
Generalized Impulse Response Function
girf(model, n.ahead, ma_approx_steps) ## S3 method for class 'pvargmm' girf(model, n.ahead, ma_approx_steps)
model |
A PVAR model |
n.ahead |
Any stable AR() model has an infinite MA representation. Hence any shock can be simulated infinitely into the future. For each forecast step t you need an additional MA term. |
ma_approx_steps |
MA approximation steps |
data("ex1_dahlberg_data") girf(ex1_dahlberg_data, n.ahead = 8, ma_approx_steps= 8)
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