girf: Generalized Impulse Response Function

In panelvar: Panel Vector Autoregression

Generalized Impulse Response Function

Description

Generalized Impulse Response Function

Usage

girf(model, n.ahead, ma_approx_steps)

## S3 method for class 'pvargmm'
girf(model, n.ahead, ma_approx_steps)

Arguments

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

Examples

data("ex1_dahlberg_data")
girf(ex1_dahlberg_data, n.ahead = 8, ma_approx_steps= 8)

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