IRFrf: Compute Local Projection IRF by Random Forest Method

Description Usage Arguments Examples

View source: R/IRFrf.R

Description

Compute Local Projection IRF by Random Forest Method

Usage

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IRFrf(
  data,
  indx = NULL,
  pmax = 5,
  p = NULL,
  s = 12,
  shockvar = 1,
  d = 1,
  histime = 1
)

Arguments

indx

if data is time series, indx is NULL. If data is panal data, indx is a character string vector whose length is 2, the 1st element is coloumn name of individual id, and the 2nd element is coloumn names of time.

pmax

max lag order where select a lag order which has minimum OOB MSE.

p

set up the lag order directly, and don't select from pmax.

s

the horizon of IRF

shockvar

a numeric scalor which denotes the shock variable.

d

the size of shock Impulse Response Function by Random Forest

histime

the numerical scalor that represents the time of shock, i.e. row index of data.

Examples

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# see VARrf function

common2016/VARrf documentation built on July 27, 2020, 2:41 a.m.