GI: Generalized IRF

In common2016/MyFun: What the Package Does (One Line, Title Case)

Generalized IRF

Description

Compute GIRF of linear VAR by Koop et al. (1996)

Usage

GI(ma, sig_u, imp_var = 1, unit = "sd")

Arguments

ma	a list, it's MA coeffients from ar2ma
sig_u	a cov matrix from VAR models. Note the order of variables in sig_u is same with one of ma[[i]].
imp_var	a numerical scalor which specifies the impulse variable.
unit	'sd' is one standard devtiation shock which is default, and 'one' is one unit shock.

Value

a matrix, its row is variables and its coloumn is horizons.

Examples

# see ar2ma function

common2016/MyFun documentation built on Sept. 23, 2024, 3:49 p.m.