R/plotIRF.R

In svazzole/sparseVAR: Sparse VAR/VECM Models Estimation

#' @title IRF plot
#'
#' @description Plot a IRF object
#'
#' @param irf the irf object to plot
#' @param eb the errorbands to plot
#' @param i the first index
#' @param j the second index
#' @param type \code{type = "irf"} or \code{type = "oirf"}
#' @param bands \code{"quantiles"} or \code{"sd"}
#' @return An \code{image} plot relative to the impulse response function.
#' @usage plotIRF(irf, eb, i, j, type, bands)
#'
#' @export
plotIRF <- function(irf, eb, i, j, type = "irf", bands = "quantiles") {
  if (attr(irf, "class") != "irf" | attr(eb, "class") != "irfBands") {
    stop("Inputs must be an irf object and an irfBands object")
  }

  if (attr(eb, "resampling") == "bootstrap") {
    nz <- dim(irf$irf)[3]
    t <- 0:(nz - 1)

    ebs <- list()

    if (bands == "quantiles") {
      ebs$irfUB <- eb$irfQUB[i, j, ] - irf$irf[i, j, ]
      ebs$irfLB <- eb$irfQLB[i, j, ] - irf$irf[i, j, ]
      ebs$oirfUB <- eb$oirfQUB[i, j, ] - irf$oirf[i, j, ]
      ebs$oirfLB <- eb$oirfQLB[i, j, ] - irf$oirf[i, j, ]
    } else if (bands == "sd") {
      ebs$irfUB <- eb$irfUB[i, j, ]
      ebs$irfLB <- eb$irfLB[i, j, ]
      ebs$oirfUB <- eb$oirfUB[i, j, ]
      ebs$oirfLB <- eb$oirfLB[i, j, ]
    } else {
      stop("Possible values for bands are sd or quantiles")
    }

    if (type == "irf") {
      irfString <- paste0("IRF ", j, " -> ", i)
      ub <- irf$irf[i, j, ] + ebs$irfUB
      lb <- irf$irf[i, j, ] + ebs$irfLB
      d <- as.data.frame(cbind(t, irf$irf[i, j, ], lb, ub, 0))
    } else if (type == "oirf") {
      irfString <- paste0("OIRF ", j, " -> ", i)
      ub <- irf$oirf[i, j, ] + ebs$oirfUB
      lb <- irf$oirf[i, j, ] + ebs$oirfLB
      d <- as.data.frame(cbind(t, irf$oirf[i, j, ], lb, ub, 0))
    } else {
      stop("Unknown type")
    }

    ggplot2::ggplot(d, ggplot2::aes(x = d[, 1], y = d[, 2])) +
      ggplot2::ylab(irfString) +
      ggplot2::geom_line(data = d, ggplot2::aes(x = t, y = d[, 3]), linetype = "dashed", color = "blue") +
      ggplot2::geom_line(data = d, ggplot2::aes(x = t, y = d[, 4]), linetype = "dashed", color = "blue") +
      ggplot2::geom_ribbon(data = d, ggplot2::aes(ymin = d[, 3], ymax = d[, 4]), fill = "lightsteelblue2", alpha = 0.75) +
      ggplot2::geom_line(data = d, ggplot2::aes(x = t, y = d[, 5]), color = "red") +
      ggplot2::geom_line() +
      ggplot2::xlab("Time")
  } else {
    nz <- dim(irf$irf)[3]
    t <- 0:(nz - 1)

    ebs <- list()

    ebs$irfUB <- eb$irfUB[i, j, ]
    ebs$irfLB <- eb$irfLB[i, j, ]
    ebs$oirfUB <- eb$oirfUB[i, j, ]
    ebs$oirfLB <- eb$oirfLB[i, j, ]

    if (type == "irf") {
      irfString <- paste0("IRF ", j, " -> ", i)
      ub <- ebs$irfUB
      lb <- ebs$irfLB
      d <- as.data.frame(cbind(t, irf$irf[i, j, ], lb, ub, 0))
    } else if (type == "oirf") {
      irfString <- paste0("OIRF ", j, " -> ", i)
      ub <- ebs$oirfUB
      lb <- ebs$oirfLB
      d <- as.data.frame(cbind(t, irf$oirf[i, j, ], lb, ub, 0))
    } else {
      stop("Unknown type")
    }

    ggplot2::ggplot(d, ggplot2::aes(x = d[, 1], y = d[, 2])) +
      ggplot2::ylab(irfString) +
      ggplot2::geom_line(data = d, ggplot2::aes(x = t, y = d[, 3]), linetype = "dashed", color = "blue") +
      ggplot2::geom_line(data = d, ggplot2::aes(x = t, y = d[, 4]), linetype = "dashed", color = "blue") +
      ggplot2::geom_ribbon(data = d, ggplot2::aes(ymin = d[, 3], ymax = d[, 4]), fill = "lightsteelblue2", alpha = 0.75) +
      ggplot2::geom_line(data = d, ggplot2::aes(x = t, y = d[, 5]), color = "red") +
      ggplot2::geom_line() +
      ggplot2::xlab("Time")
  }
}

#' @title IRF grid plot
#'
#' @description Plot a IRF grid object
#'
#' @param irf the irf object computed using impulseResponse
#' @param eb the error bands estimated using errorBands
#' @param indexes a vector containing the indeces that you want to plot
#' @param type plot the irf (\code{type = "irf"} by default) or the orthogonal irf
#' (\code{type = "oirf"})
#' @param bands which type of bands to plot ("quantiles" (default) or  "sd")
#' @return An \code{image} plot relative to the impulse response function.
#' @usage plotIRFGrid(irf, eb, indexes, type, bands)
#'
#' @export
plotIRFGrid <- function(irf, eb, indexes, type = "irf", bands = "quantiles") {
  n <- length(indexes)
  g <- expand.grid(indexes, indexes)
  nrgrid <- nrow(g)

  pl <- list()

  for (i in 1:nrgrid) {
    pl[[i]] <- plotIRF(irf, eb, g[i, 1], g[i, 2], type = type, bands = bands)
  }

  multiplot(plotlist = pl, cols = n, layout = matrix(1:nrgrid, nrow = n, byrow = TRUE))
}