irf | R Documentation |
Computes the impulse response coefficients of a VAR(p) (or transformed
VECM to VAR(p)) or a SVAR for n.ahead
steps.
## S3 method for class 'varest'
irf(x, impulse = NULL, response = NULL, n.ahead = 10,
ortho = TRUE, cumulative = FALSE, boot = TRUE, ci = 0.95,
runs = 100, seed = NULL, ...)
## S3 method for class 'svarest'
irf(x, impulse = NULL, response = NULL, n.ahead = 10,
ortho = TRUE, cumulative = FALSE, boot = TRUE, ci = 0.95,
runs = 100, seed = NULL, ...)
## S3 method for class 'vec2var'
irf(x, impulse = NULL, response = NULL, n.ahead = 10,
ortho = TRUE, cumulative = FALSE, boot = TRUE, ci = 0.95,
runs = 100, seed = NULL, ...)
## S3 method for class 'svecest'
irf(x, impulse = NULL, response = NULL, n.ahead = 10,
ortho = TRUE, cumulative = FALSE, boot = TRUE, ci = 0.95,
runs = 100, seed = NULL, ...)
x |
Object of class ‘ |
impulse |
A character vector of the impulses, default is all variables. |
response |
A character vector of the responses, default is all variables. |
n.ahead |
Integer specifying the steps. |
ortho |
Logical, if |
cumulative |
Logical, if |
boot |
Logical, if |
ci |
Numeric, the confidence interval for the bootstrapped errors bands. |
runs |
An integer, specifying the runs for the bootstrap. |
seed |
An integer, specifying the seed for the |
... |
Currently not used. |
The impulse response coefficients of a VAR(p) for n.ahead
steps
are computed by utilising either the function Phi()
or
Psi()
. If boot = TRUE
(the default), confidence
bands for a given width specified by ci
are derived from
runs
bootstrap. Hereby, it is at the users leisure to set a
seed
for the random number generator.
The standard percentile interval is defined as:
CI_s = [s_{\alpha/2}^*, s_{1 - \alpha/2}^*] \quad ,
with s_{\alpha/2}^*
and s_{1 - \alpha/2}^*
are the
\alpha/2
and 1 - \alpha/2
quantiles of the bootstrap
distribution of \Psi^*
or \Phi^*
depending whether
ortho = TRUE
. In case cumulative = TRUE
, the confidence
bands are calculated from the cumulated impulse response
coefficients.
A list of class ‘varirf
’ with the following elements is
returned:
irf |
A list with matrices for each of the impulse variables containing the impulse response coefficients. |
Lower |
If |
Upper |
If |
response |
Character vector holding the names of the response variables. |
impulse |
Character vector holding the names of the impulse variables. |
ortho |
Logical, if |
cumulative |
Logical, if |
runs |
An integer, specifying the number of bootstrap runs. |
ci |
Numeric, defining the confidence level. |
boot |
Logical, if |
model |
Character, containing ‘ |
Bernhard Pfaff
Efron, B. and R. J. Tibshirani (1993), An Introduction to the Bootstrap, Chapman and Hall, New York.
Hamilton, J. (1994), Time Series Analysis, Princeton University Press, Princeton.
Lütkepohl, H. (2006), New Introduction to Multiple Time Series Analysis, Springer, New York.
VAR
, SVAR
, vec2var
,
SVEC
, Phi
, Psi
, plot
data(Canada)
## For VAR
var.2c <- VAR(Canada, p = 2, type = "const")
irf(var.2c, impulse = "e", response = c("prod", "rw", "U"), boot =
FALSE)
## For SVAR
amat <- diag(4)
diag(amat) <- NA
svar.a <- SVAR(var.2c, estmethod = "direct", Amat = amat)
irf(svar.a, impulse = "e", response = c("prod", "rw", "U"), boot =
FALSE)
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