plot.irf: VAR ipulse response functions

In gabrielrvsc/HDeconometrics: Implementation of several econometric models in high-dimension.

Description

Estimates impulse response coefficients of a HDvar or lbvar model h steps ahead. Confidence bands may be computed by bootstrap.

Usage

## S3 method for class 'irf'
plot(x, impulse, response, alpha = 0.05, lty.cb = 2,
  lwd.cb = 1, ...)

Arguments

x	A irf object.
impulse	Impulse variable name or index.
response	Response Variable name or index.
alpha	Significance level used only in case the irf was estimated using bootstrap. May be more than one value.
lty.cb	Confidence bands graphic control.
lwd.cb	Confidence bands graphic control.
...	Other graphical parameters.

References

Garcia, Medeiros and Vasconcelos (2017).

See Also

predict, lbvar, identification, irf

Examples

## == This example uses the Brazilian inflation data from
#Garcia, Medeiros and Vasconcelos (2017) == ##

# = This is an ilustrative example = #
# = The identification ignores which variables are more exogenous = #
data("BRinf")
Y=BRinf[,1:59]# remove expectation variables
modelB=lbvar(Y,p=3)
identB=identification(modelB)
irfB=irf(modelB,identB,h=12,boot = TRUE,M=100)
plot(irfB,1,2,alpha=0.1)

gabrielrvsc/HDeconometrics documentation built on April 28, 2020, 7:12 a.m.