mvgam_irf-class: 'mvgam_irf' object description

In nicholasjclark/mvgam: Multivariate (Dynamic) Generalized Additive Models

mvgam_irf object description

Description

A mvgam_irf object returned by function irf. Run methods(class = "mvgam_irf") to see an overview of available methods.

Details

Generalized or Orthogonalized Impulse Response Functions can be computed using the posterior estimates of Vector Autoregressive parameters. This function generates a positive "shock" for a target process at time t = 0 and then calculates how each of the remaining processes in the latent VAR are expected to respond over the forecast horizon h. The function computes IRFs for all processes in the object and returns them in an array that can be plotted using the S3 plot function. To inspect community-level metrics of stability using latent VAR processes, you can use the related stability() function. A mvgam_irf object contains a list of posterior impulse response functions, each stored as its own list

Author(s)

Nicholas J Clark

References

PH Pesaran & Shin Yongcheol (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters 58: 17–29.

See Also

mvgam, VAR

nicholasjclark/mvgam documentation built on April 17, 2025, 9:39 p.m.