Impulse response function

Description

Use the fevd function from package vars to tompute the impulse response coefficients of a VAR(p) (or transformed VECM to VAR(p)) for n.ahead steps.

Usage

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## S3 method for class 'nlVar'
irf(x, impulse = NULL, response = NULL, n.ahead = 10,
ortho = TRUE, cumulative = FALSE, boot = TRUE, ci = 0.95,
runs = 100, seed = NULL, ...)

Arguments

x

Object of class ‘VAR’; generated by lineVar(), or object of class ‘VECM’; generated byVECM().

impulse

A character vector of the impulses, default is all variables.

response

A character vector of the responses, default is all variables.

n.ahead

Integer specifying the steps.

ortho

Logical, if TRUE (the default) the orthogonalised impulse response coefficients are computed (only for objects of class ‘varest’).

cumulative

Logical, if TRUE the cumulated impulse response coefficients are computed. The default value is false.

boot

Logical, if TRUE (the default) bootstrapped error bands for the imuplse response coefficients are computed.

ci

Numeric, the confidence interval for the bootstrapped errors bands.

runs

An integer, specifying the runs for the bootstrap.

seed

An integer, specifying the seed for the rng of the bootstrap.

...

Currently not used.

Details

The function converts the VAR or VECM computed by package tsDyn into an object of class ‘vec2var’, on which then the irf method is applied. For details, see the relevant package.

Value

A list of class ‘varirf’ with the following elements is returned:

irf

A list with matrices for each of the impulse variables containing the impulse response coefficients.

Lower

If boot = TRUE, a list with matrices for each of the impulse variables containing the lower bands.

Upper

If boot = TRUE, a list with matrices for each of the impulse variables containing the upper bands.

response

Character vector holding the names of the response variables.

impulse

Character vector holding the names of the impulse variables.

ortho

Logical, if TRUE, orthogonalised impulse reponses have been computed.

cumulative

Logical, if TRUE, cumulated impulse reponses have been computed.

runs

An integer, specifying the number of bootstrap runs.

ci

Numeric, defining the confidence level.

boot

Logical, if TRUE bootstrapped error bands have been computed.

model

Character, containing ‘class(x)’.

Author(s)

Bernhard Pfaff

References

Efron, B. and R. J. Tibshirani (1993), An Introduction to the Bootstrap, Chapman \& Hall, New York.

Hamilton, J. (1994), Time Series Analysis, Princeton University Press, Princeton.

Lütkepohl, H. (2006), New Introduction to Multiple Time Series Analysis, Springer, New York.

See Also

plot for the plot method. lineVar, VECM for the models.

Examples

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data(barry)

## For VAR
mod_var <- lineVar(barry, lag = 2)
irf(mod_var, impulse = "dolcan", response = c("dolcan", "cpiUSA", "cpiCAN"), boot =
FALSE)

## For VECM
mod_VECM <- VECM(barry, lag = 2, estim="ML", r=2)
irf(mod_VECM, impulse = "dolcan", response = c("dolcan", "cpiUSA", "cpiCAN"), boot =
FALSE)

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