R/h_irf.R

In namgillee/VARshrink: Shrinkage Estimation Methods for Vector Autoregressive Models

h_irf <- function (x, impulse, response, y.names, n.ahead, ortho, cumulative) {
  if (inherits(x, "varest") || inherits(x, "vec2var")) {
    if (ortho) {
      irf <- Psi(x, nstep = n.ahead)
    }
    else {
      irf <- Phi(x, nstep = n.ahead)
    }
  }
  else if (inherits(x, "svarest") || inherits(x, "svecest")) {
    irf <- Phi(x, nstep = n.ahead)
  }
  dimnames(irf) <- list(y.names, y.names, NULL)
  idx <- length(impulse)
  irs <- list()
  for (i in 1:idx) {
    irs[[i]] <- matrix(t(irf[response, impulse[i],
                             1:(n.ahead + 1)]), nrow = n.ahead + 1)
    colnames(irs[[i]]) <- response
    if (cumulative) {
      if (length(response) > 1)
        irs[[i]] <- apply(irs[[i]], 2, cumsum)
      if (length(response) == 1) {
        tmp <- matrix(cumsum(irs[[i]]))
        colnames(tmp) <- response
        irs[[i]] <- tmp
      }
    }
  }
  names(irs) <- impulse
  result <- irs
  return(result)
}