IRF: Compute Impulse Response Function (IRF)

In tidyverts/fabletools: Core Tools for Packages in the 'fable' Framework

Compute Impulse Response Function (IRF)

Description

This function calculates the impulse response function (IRF) of a time series model. The IRF describes how a model's variables react to external shocks over time.

Usage

IRF(x, ...)

Arguments

x	A fitted model object, such as from a VAR or ARIMA model. This model is used to compute the impulse response.
...	Additional arguments to be passed to lower-level functions.

Details

If new_data contains the .impulse column, those values will be treated as impulses for the calculated impulse responses.

The impulse response function provides insight into the dynamic behaviour of a system in response to external shocks. It traces the effect of a one-unit change in the impulse variable on the response variable over a specified number of periods.

tidyverts/fabletools documentation built on Feb. 7, 2025, 6:40 p.m.