Description Usage Arguments References See Also Examples
Estimates impulse response coefficients of a HDvar or lbvar model h steps ahead. Confidence bands may be computed by bootstrap.
1 2 3 |
x |
A irf object. |
impulse |
Impulse variable name or index. |
response |
Response Variable name or index. |
alpha |
Significance level used only in case the irf was estimated using bootstrap. May be more than one value. |
lty.cb |
Confidence bands graphic control. |
lwd.cb |
Confidence bands graphic control. |
... |
Other graphical parameters. |
Garcia, Medeiros and Vasconcelos (2017).
predict
, lbvar
, identification
, irf
1 2 3 4 5 6 7 8 9 10 11 | ## == This example uses the Brazilian inflation data from
#Garcia, Medeiros and Vasconcelos (2017) == ##
# = This is an ilustrative example = #
# = The identification ignores which variables are more exogenous = #
data("BRinf")
Y=BRinf[,1:59]# remove expectation variables
modelB=lbvar(Y,p=3)
identB=identification(modelB)
irfB=irf(modelB,identB,h=12,boot = TRUE,M=100)
plot(irfB,1,2,alpha=0.1)
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