hd: Historical decomposition for SVAR Models

In svars: Data-Driven Identification of SVAR Models

Historical decomposition for SVAR Models

Description

Calculation of historical decomposition for an identified SVAR object 'svars' derived by function id.st( ), id.cvm( ),id.cv( ),id.dc( ) or id.ngml( ).

Usage

hd(x, series = 1, transition = 0)

Arguments

x	SVAR object of class "svars"
series	Integer. indicating the series that should be decomposed.
transition	Numeric. Value from [0, 1] indicating how many initial values should be discarded, i.e., 0.1 means that the first 10 per cent observations of the sample are considered as transient.

Value

A list with class attribute "hd" holding the historical decomposition as data frame.

References

Kilian, L., Luetkepohl, H., 2017. Structural Vector Autoregressive Analysis, Cambridge University Press.

See Also

id.cvm, id.dc, id.ngml, id.cv, id.garch or id.st

Examples

v1 <- vars::VAR(USA, lag.max = 10, ic = "AIC" )
x1 <- id.dc(v1)
x2 <- hd(x1, series = 2)
plot(x2)

svars documentation built on Feb. 16, 2023, 7:52 p.m.