irf.ctryvarest: Impulse Response Function for a GVAR Submodel

In franzmohr/bgvars: Bayesian Inference of Global Vector Autoregressive and Gloal Vector Error Correction Models

Impulse Response Function for a GVAR Submodel

Description

Computes the impulse response coefficients of an object of class "ctryvarest" for n.ahead steps.

Usage

## S3 method for class 'ctryvarest'
irf(
  x,
  impulse,
  response,
  n.ahead = 5,
  ci = 0.95,
  shock = 1,
  type = "feir",
  cumulative = FALSE,
  keep_draws = FALSE,
  period = NULL,
  ...
)

Arguments

x	an object of class "ctryvarest", usually, a result of a call to draw_posterior.gvarsubmodels or ctryvec_to_ctryvar.
impulse	name of the impulse variable.
response	name of the response variable.
n.ahead	number of steps ahead.
ci	a numeric between 0 and 1 specifying the probability mass covered by the credible intervals. Defaults to 0.95.
shock	size of the shock.
type	type of the impulse response. Possible choices are forecast error "feir" (default), orthogonalised "oir", structural "sir", generalised "gir", and structural generalised "sgir" impulse responses.
cumulative	logical specifying whether a cumulative IRF should be calculated.
keep_draws	logical specifying whether the function should return all draws of the posterior impulse response function. Defaults to FALSE so that the median and the credible intervals of the posterior draws are returned.
period	integer. Index of the period, for which the IR should be generated. Only used for TVP or SV models. Default is NULL, so that the posterior draws of the last time period are used.
...	further arguments passed to or from other methods.

Value

A time-series object of class "bvarirf" and if keep_draws = TRUE a simple matrix.

References

Lütkepohl, H. (2006). New introduction to multiple time series analysis (2nd ed.). Berlin: Springer.

Pesaran, H. H., Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters, 58, 17-29.

franzmohr/bgvars documentation built on Sept. 2, 2023, 12:45 p.m.