irf: Compute Impulse-Response Functions

In joergrieger/bvar: Estimation and forecasting of bayesian VAR models

Description

Compute Impulse-Response Functions

Usage

irf(obj, id_obj, nhor = 12, ncores = 1, irfquantiles = c(0.05, 0.95),
  ...)

## S3 method for class 'bvar'
irf(obj, id_obj, nhor = 12, ncores = 1,
  irfquantiles = c(0.05, 0.95), ...)

## S3 method for class 'favar'
irf(obj, id_obj, nhor = 12, ncores = 1,
  irfquantiles = c(0.05, 0.95), ...)

## S3 method for class 'ftvar'
irf(obj, id_obj, nhor = 12, ncores = 1,
  irfquantiles = c(0.05, 0.95), bootrep = 50, ...)

## S3 method for class 'msvar'
irf(obj, id_obj, nhor = 12, ncores = 1,
  irfquantiles = c(0.05, 0.95), ...)

## S3 method for class 'tvar'
irf(obj, id_obj, nhor = 12, ncores = 1,
  irfquantiles = c(0.05, 0.95), bootrep = 50, ...)

Arguments

obj	an S3 object of class bvar
id_obj	an S3 object with information about identifiaction of the model
nhor	horizon of the impulse-response function
ncores	number of cores used
irfquantiles	quantiles for the impulse-response functions
...	currently not used
bootrep	bootstrap replication for generalized impulse-response functions

Details

The function irf computes impulse-response functions for estimatet linear and non-linear VAR models. For Threshold-VARs and Factor-augmented Threshold-VARs generalized impulse-response functions are computed. The parameter bootrep determines how many bootstrap replications are going to be computed.

Value

returns an S3-object of the class bvirf, fvirf, msirf or tirf

References

Gary Koop, M. Hashem Pesaran and Simon M. Potter, 1996, Impulse response analysis in nonlinear multivariate model, Journal of Econometrics 74(1), 119-147

joergrieger/bvar documentation built on July 3, 2020, 5:34 p.m.