irf {vars} | 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 ‘varest ’; generated by
VAR() , or object of class ‘svarest ’; generated by
SVAR() , or object of class ‘vec2var ’; generated by
vec2var() , or object of class ‘svecest ’;
generated by SVEC() . |
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 TRUE (the default) the orthogonalised impulse
response coefficients are computed (only for objects of class
‘varest ’). |
cumulative |
Logical, if TRUE the cumulated
impulse response coefficients are computed. The default value is false. |
boot |
Logical, if TRUE (the default) bootstrapped error
bands for the imuplse response coefficients are computed. |
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 rng of the
bootstrap. |
... |
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_{α/2}^*, s_{1 - α/2}^*] quad ,
with s_{α/2}^* and s_{1 - α/2}^* are the
α/2 and 1 - α/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 boot = TRUE , a list with matrices for each of
the impulse variables containing the lower bands. |
Upper |
If boot = TRUE , a list with matrices for each of
the impulse variables containing the upper bands. |
response |
Character vector holding the names of the response variables. |
impulse |
Character vector holding the names of the impulse variables. |
ortho |
Logical, if TRUE , orthogonalised impulse reponses
have been computed. |
cumulative |
Logical, if TRUE , cumulated impulse reponses
have been computed. |
runs |
An integer, specifying the number of bootstrap runs. |
ci |
Numeric, defining the confidence level. |
boot |
Logical, if TRUE bootstrapped error bands have been
computed. |
model |
Character, containing ‘class(x) ’. |
Bernhard Pfaff
Efron, B. and R. J. Tibshirani (1993), An Introduction to the Bootstrap, Chapman & 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)