errorBandsIRF: Error bands for IRF

In sparsevar: Sparse VAR/VECM Models Estimation

Description

A function to estimate the confidence intervals for irf and oirf.

Usage

errorBandsIRF(v, irf, alpha, M, resampling, ...)

Arguments

v	a var object as from fitVAR or simulateVAR
irf	irf output from impulseResponse function
alpha	level of confidence (default alpha = 0.01)
M	number of bootstrapped series (default M = 100)
resampling	type of resampling: "bootstrap" or "jackknife"
...	some options for the estimation: verbose = TRUE or FALSE, mode = "fast" or "slow", threshold = TRUE or FALSE.

Value

a matrix containing the indices of the impulse response function that are 0.

sparsevar documentation built on April 18, 2021, 9:08 a.m.