irf.nlVar: Impulse response function

In tsDyn: Nonlinear Time Series Models with Regime Switching

Impulse response function

Description

Compute the impulse response coefficients (IRF) of a VAR(p) (or transformed VECM to VAR(p)) for n.ahead steps. For TVECM and TVAR model, argument regime offers regime-specific IRF.

Usage

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

## S3 method for class 'setar'
irf(
  x,
  impulse = NULL,
  response = NULL,
  n.ahead = 10,
  ortho = TRUE,
  cumulative = FALSE,
  boot = TRUE,
  ci = 0.95,
  runs = 100,
  seed = NULL,
  regime = c("L", "M", "H"),
  ...
)

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

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

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

## S3 method for class 'TVAR'
irf(
  x,
  impulse = NULL,
  response = NULL,
  n.ahead = 10,
  ortho = TRUE,
  cumulative = FALSE,
  boot = TRUE,
  ci = 0.95,
  runs = 100,
  seed = NULL,
  regime = c("L", "M", "H"),
  ...
)

## S3 method for class 'TVECM'
irf(
  x,
  impulse = NULL,
  response = NULL,
  n.ahead = 10,
  ortho = TRUE,
  cumulative = FALSE,
  boot = TRUE,
  ci = 0.95,
  runs = 100,
  seed = NULL,
  regime = c("L", "M", "H"),
  ...
)

Arguments

x	Object of class ‘VAR’; generated by lineVar(), or object of class ‘VECM’; generated byVECM().
impulse, response	Not used!
n.ahead	Integer specifying the steps.
ortho	Logical, if TRUE (the default) the orthogonalised impulse response coefficients are computed .
cumulative	Logical, if TRUE the cumulated impulse response coefficients are computed. The default value is false.
boot, ci, runs, seed	Arguments for the bootstrap, see irf.varest
...	Currently not used.
regime	For a setar model, which regime (L, M or H) to produce IRF for?

Value

A list of class ‘varirf’ see irf.varest

Author(s)

Matthieu Stigler

See Also

plot for the plot method. lineVar, VECM for the models. Hamilton, J. (1994), Time Series Analysis, Princeton University Press, Princeton.

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

Examples

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)

tsDyn documentation built on Feb. 16, 2023, 6:57 p.m.