irf: Impulse Response Functions for SVAR Models

In alexanderlange53/SVAR_Identification_Package: Data-Driven Identification of SVAR Models

Impulse Response Functions for SVAR Models

Description

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

Usage

## S3 method for class 'svars'
irf(x, ..., n.ahead = 20)

Arguments

x	SVAR object of class "svars".
...	Currently not used.
n.ahead	Integer specifying the steps.

Value

A list with class attribute "svarirf" holding the impulse response functions as data frame.

References

Luetkepohl, H., 2005. New introduction to multiple time series analysis, Springer-Verlag, Berlin.

See Also

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

Examples

v1 <- vars::VAR(USA, lag.max = 10, ic = "AIC" )
x1 <- id.ngml(v1)
x2 <- irf(x1, n.ahead = 20)
plot(x2)

alexanderlange53/SVAR_Identification_Package documentation built on Feb. 2, 2023, 5:25 a.m.