boot_irfs: Obtain a bootstrap distribution of the IRFs

In juhokalle/rmfd4dfm: Estimation of DFMs using RMFD-E parametrization

Obtain a bootstrap distribution of the IRFs

Description

Obtain a bootstrap distribution of the IRFs

Usage

boot_irfs(
  df,
  nu,
  degs = NULL,
  maxit = 250,
  conv_crit = 0.001,
  verbose,
  h,
  nrep,
  int_vars,
  save_file = FALSE
)

Arguments

df	(T x N)-dimensional data matrix
nu	q-dimensional vector of Kronecker indices
degs	optional, vector of length 2, defining the orders of c(z) and d(z)
maxit	Maximum number of iterations in the estimation procedure, defaults to 250
conv_crit	Convergence criterion in the estimation, defaults to 1e-3
verbose	Should the estimation process be printed?
h	the IRF horizon h
nrep	number of bootstrap draws
int_vars	q-dimensional vector coding the positions of the variables of interest
save_file	save the IRF array at the end?

Value

An array of dimension n x q h+1 x nrep corresponding to the recursively identified structural impulse-response function

juhokalle/rmfd4dfm documentation built on July 18, 2024, 10:19 p.m.