hd: Historical decomposition for SVAR Models

Description Usage Arguments Value References See Also Examples

View source: R/hd.R

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

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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

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

alexanderlange53/SVAR_Identification_Package documentation built on Jan. 9, 2020, 12:25 p.m.