R/irf.linear.R

In tsDyn: Nonlinear Time Series Models with Regime Switching

irf_1 <- function(x, n.ahead = 10, cumulative = FALSE, ...) UseMethod("irf_1")

#'@export
irf_1.ar <-  function(x, n.ahead=10, cumulative=FALSE, ...) {
  coefs <- as.numeric(x$ar)
  empty_series <- c(1, rep(0, n.ahead))
  res <- as.numeric(stats::filter(empty_series, coefs, method = "recursive"))
  if(cumulative) res <-  cumsum(res)
  data.frame(x=res, n.ahead = 0:n.ahead)
}

#'@export
irf_1.linear <-  function(x, n.ahead=10, cumulative=FALSE, ...) {
  coefs <- coef(x)
  if(any(grepl("const|trend", names(coefs)))) coefs <-  coefs[-grep("const|trend", names(coefs))]
  
  empty_series <- c(1, rep(0, n.ahead))
  
  res <- as.numeric(stats::filter(empty_series, coefs, method = "recursive"))
  if(cumulative) res <-  cumsum(res)
  data.frame(x=res, n.ahead = 0:n.ahead)
}

#'@export
irf_1.setar <-  function(x, n.ahead=10, cumulative=FALSE, regime = c("L", "M", "H"), ...) {
  regime <-  match.arg(regime)
  coefs <- coef(x, regime = regime, hyperCoef = FALSE)
  if(any(grepl("const|trend", names(coefs)))) coefs <-  coefs[-grep("const|trend", names(coefs))]
  
  empty_series <- c(1, rep(0, n.ahead))
  
  res <- as.numeric(stats::filter(empty_series, coefs, method = "recursive"))
  if(cumulative) res <-  cumsum(res)
  data.frame(x=res, n.ahead = 0:n.ahead)
}

irf_1_tolist_old <- function(x) {
    irf_origM <- as.matrix(x[, "x", drop = FALSE])
    # colnames(irf_origM) <-  "x"
    list(x = irf_origM)
}

as_mat_norow <- function(x) {
  x2 <- as.matrix(x)
  row.names(x2) <-  NULL
  x2
}

li_df_to_M <- function(li) lapply(li, as_mat_norow)

irf_1_tolist <- function(x) {
  if(!"impulse" %in% colnames(x)) x$impulse <- "x"
  if("n.ahead" %in% colnames(x)) x$n.ahead <- NULL
  x2 <- x
  x2$impulse <-  NULL
  li <- split(x2, x$impulse)[unique(x$impulse)]
  li_df_to_M(li)
}

## 
irf_any <-  function(x, n.ahead = 10, cumulative = FALSE, 
                     boot = TRUE, ci = 0.95, runs = 100,
                     regime = c("all", "L", "M", "H"),
                     seed = NULL,
                     ortho = TRUE, 
                     ...) {
  regime <-  match.arg(regime)
  series <- get_series(x)
  if(length(series)==1) series <- "x" ## weird bug: plot.irf works only if is called x...
    
  irf_orig <- irf_1(x=x , n.ahead = n.ahead, cumulative = cumulative, regime = regime, ortho = ortho)
  if(runs ==0) boot <-  FALSE
  
  ## formatting
  irf_orig <-  irf_1_tolist(irf_orig)
  
  ## 
  if(boot) {
    if(!is.null(seed)) set.seed(seed) 
    boot_estim_irf <- function(x) {
      mod_b <- mod_boot_estim(x)
      
      irf_b <- irf_1(x=mod_b , n.ahead = n.ahead, cumulative = cumulative, regime = regime, ortho = ortho)
      if(!is.list(irf_b)) irf_b <-  irf_1_tolist(irf_b)
      irf_b
    }
    
    # univariate: 1 vector
    ## multi: a list of k components, with k rows? use rather df way!
    
    # boot_estim_irf(x)
    IRF_b <- replicate(runs, as.data.frame(boot_estim_irf(x)), simplify = FALSE)
    IRF_b_2 <- lapply(1:length(IRF_b), function(i) {IRF_b[[i]]$n_rep <- i; IRF_b[[i]]})
    IRF_b_3 <- do.call("rbind", IRF_b_2)
    IRF_b_3$n.ahead <- rep(0:n.ahead, length.out = nrow(IRF_b_3))
    if(!"impulse" %in% colnames(IRF_b_3)) IRF_b_3$impulse <- "x"
    q_low <- aggregate(IRF_b_3[, 1:(ncol(IRF_b_3)-3)], 
                       list(impulse = IRF_b_3$impulse, n.ahead = IRF_b_3$n.ahead), 
                       quantile, probs = 1-ci)
    q_high <- aggregate(IRF_b_3[, 1:(ncol(IRF_b_3)-3)], 
                       list(impulse = IRF_b_3$impulse, n.ahead = IRF_b_3$n.ahead), 
                       quantile, probs = ci)
    q_low_li <- split(q_low[, -c(1,2), drop = FALSE], f = q_low$impulse )
    q_high_li <- split(q_high[, -c(1,2), drop = FALSE], f = q_high$impulse )
  }
  
  ## results
  res <- list()
  res$irf <- irf_orig
  res$Lower <-  if(boot) li_df_to_M(q_low_li) else NULL 
  res$Upper <-  if(boot) li_df_to_M(q_high_li) else NULL 
  res$response <- series
  res$impulse <- series
  res$ortho <-  ortho
  res$cumulative <- cumulative
  res$runs <- runs
  res$ci <- ci
  res$boot <- boot
  res$model <-  "varest"
  
  class(res) <- "varirf"
  res
}

#' @rdname irf.nlVar
#' @export
irf.linear <-  function(x, impulse=NULL, response=NULL, n.ahead=10, ortho=TRUE, cumulative=FALSE, 
                        boot=TRUE, ci=0.95, runs=100, seed=NULL, ...) {
  if(!is.null(impulse) | !is.null(response) | !ortho) stop("Arguments used only for multivariate models")
  irf_any(x=x, n.ahead = n.ahead, cumulative = cumulative, 
           boot = boot, ci = ci, runs = runs, seed = seed, ...)
}

#' @rdname irf.nlVar
#' @param regime For a setar model, which regime (L, M or H) to produce IRF for?
#' @export
irf.setar <-  function(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"),...) {
  regime <-  match.arg(regime)
  if(!is.null(impulse) | !is.null(response) | !ortho) stop("Arguments used only for multivariate models")
  irf_any(x=x, n.ahead = n.ahead, cumulative = cumulative, 
          boot = boot, ci = ci, runs = runs, regime = regime, seed = seed, ...)
}

#' @rdname irf.nlVar
#' @export
irf.ar <-  function(x, impulse=NULL, response=NULL, n.ahead=10, ortho=TRUE, cumulative=FALSE, 
                    boot=TRUE, ci=0.95, runs=100, seed=NULL, ...) {
  if(!is.null(impulse) | !is.null(response) | !ortho) stop("Arguments used only for multivariate models")
  irf_any(x=x, n.ahead = n.ahead, cumulative = cumulative, 
          boot = boot, ci = ci, runs = runs, seed = seed,  ...)
}

## 
irf_1_sim <-  function(x, n.ahead = 10, innov, ...) {
  
  lag <- x$str$m
  include <- x$include
  B <- coef(x)
  if(any(grepl("const|trend", names(B)))) B[grep("const|trend", names(B))] <-  0
  
  
  start_vals <-  rep(0, lag)
  # shock <- switch(include, "const" = 1 - coef(x)[1],
  #                 "none" = 1)
  if(missing(innov)) innov <-  c(1, rep(0, n.ahead+lag))
  res <- setar.gen(B=B, n=n.ahead, lag=lag, include = include,  
                   nthresh = 0,
                   returnStarting = FALSE,
                   starting=start_vals, innov=innov, ...)
  
  res
}





## example from Sims: https://www3.nd.edu/~esims1/arp_companion.pdf
if(FALSE) {
  coefs <- c(0.8, 0.6, -.5)
  out <- filter(c(1, 0, 0, 0, 0), coefs, method = "recursive")
  out
  sum(out [1:3]* rev(coefs ))
  
}

## TEST
if(FALSE) {
  library(tsDyn)
  library(tidyverse)
  library(devtools)
  load_all()
  ci = 0.95
  n.ahead = 10
  cumulative = FALSE
  boot = TRUE
  runs = 10
  regime = "L"
  ortho = TRUE
  
  
  ar_2_noMean <- ar(lh, aic = FALSE, order.max = 2, method = "ols", demean = FALSE)  
  ar_2_Mean <- ar(lh, aic = FALSE, order.max =2, demean = TRUE, method = "ols")
  
  linear_l2_none <- linear(lh, m = 2, include = "none")
  linear_l2_const <- linear(lh, m = 2, include = "const")
  setar_l2_const <- setar(lh, m = 2, include = "const")
  all.equal(coef(linear_l2_none), ar_2_noMean$ar[,,1], check.attributes = FALSE)
  all.equal(coef(linear_l2_const)[-1], ar_2_Mean$ar[,,1], check.attributes = FALSE)
  
  ## compar emeans?
  coef(linear_l2_const)
  ar_2_Mean$ar[,,1]
  ar_2_Mean$x.mean
  ar_2_Mean$x.intercept
  
  coefs_ar <- coef(linear_l2_none)
  st_0 <-  1
  st_1 <- coefs_ar[1] * st_0
  st_2 <- coefs_ar[1] * st_1 +  coefs_ar[2] * st_0
  st_3 <- coefs_ar[1] * st_2 +  coefs_ar[2] * st_1
  c(1, st_1, st_2, st_3)
  
  irf_1(ar_2_noMean)
  irf_1(linear_l2_none)
  all.equal(irf_1(x=ar_2_noMean)$x, irf_1(linear_l2_none)$x)
  all.equal(irf_1(x=linear_l2_none)$x[-11],   irf_1_sim(linear_l2_none))
  
  
  ## irf constant
  co_const <- coef(linear_l2_const)

  st_cst_0 <- 1
  st_cst_1 <- co_const[2] * st_cst_0
  st_cst_2 <- co_const[2] * st_cst_1 +  co_const[3] * st_cst_0
  st_cst_3 <- co_const[2] * st_cst_2 +  co_const[3] * st_cst_1
  res_manual <- c(st_cst_0, st_cst_1, st_cst_2, st_cst_3)

  all.equal(res_manual, irf_1_sim(x=linear_l2_const, n.ahead = 4), check.attributes = FALSE)
    
  
  ## irf shock
  # library(tidyverse)
  linear_l2_const_sh <- irf_1_shock(object= linear_l2_const, hist = c(1, 2),
                                    shock = 0) %>% 
    mutate(n_row = 1:n())
  # plot(1:48, linear_l2_const_sh$sim_1, type = "l")
  # lines(1:48, linear_l2_const_sh$sim_2, lty = 2, col = 2)
  # 
  # linear_l2_const_sh %>% 
  #   filter(between(n_row, 11, 20)) %>% 
  #   qplot(x = n_row, y = diff, data = ., geom = "line")
  
  irf_dat <- tibble(n_row =11 :(11+10-1), irf = irf_1_sim(x=linear_l2_const))
  qplot(x = n_row, y = irf, data = irf_dat, geom = "line")
  
  ## IFR NOW
  irf_filt <- irf_any(x=linear_l2_const)
  irf_filt$irf
  irf_filt$Lower
  plot(irf_filt)
  # all.equal(irf_filt$irf$x, linear_l2_const_sh$diff[11:20])
  
  tibble(irf_filter = irf(x=linear_l2_const, boot = FALSE)$irf$x[, 1],
             n_row = 0:10) %>% 
    qplot(x = n_row, y = irf_filter, data = ., geom = "line")
  
  
  ### IRF full
  irf_full <-  irf_any(x=linear_l2_const)
  irf_full <-  irf(linear_l2_const)
  
  # irf_full$boot <-  FALSE
  # irf_full$model <- "varest"
  # fixInNamespace(plot.varirf,  "vars")
  plot(irf_full)
  
  ## setar
  irf_1_L <- irf_1(setar_l2_const, regime = "L")
  irf_1_H <- irf_1(x=setar_l2_const, regime = "H")
  plot(0:10, irf_1_L$x, type = "l")
  lines(0:10, irf_1_H$x, lty = 2)
  irf_set_regL <- irf(setar_l2_const, regime = "L", ci = 0.8)
  irf_set_regH <- irf(setar_l2_const, regime = "H", ci = 0.8)
  plot(irf_set_regL, ylim = c(0, 1.2))
  plot(irf_set_regH)
}