irf.msbsvar {MSBVAR}R Documentation

Monte Carlo Integration / Simulation of Impulse Response Functions for an MSBSVAR model.

Description

Simulates a posterior of impulse response functions (IRF) by Monte Carlo integration. This can handle MSBSVAR models estimated with the msbsvar function. Simulations of IRFs from the Bayesian model utilize the posterior estimates for that model.

Usage

irf.msbsvar(gibbs, msbsvar, nsteps)

Arguments

gibbs Output from the gibbs.msbsvar function. This is the posterior for the MSBSVAR model
msbsvar Fitted msbsvar posterior mode from a call to msbsvar.
nsteps Integer, number of steps or periods in the impulse response horizon.

Details

This is a beta function. It averages over the posterior for the regimes and generates a set of regime-specific impulse responses. There is one set of responses produced for each endogenous variable in each regime. The identification of the A(0) for the system is set up in the msbsvar function. See that for details.

Value

MSBSVAR:
An irf.MSBSVAR class object object that is the array of impulse response samples for the Monte Carlo samples

impulse A list of h draws X nsteps X (m*m) arrays of the impulse responses. The list if ordered by regime. These are IRFs using the associated B-SVAR model in msbsvar and the posterior A(0).

Note

Eventually this function will be wrapped into the classing mechanism for estimation and plotting for IRFs. This is described in the mc.irf documentation.

Author(s)

Patrick T. Brandt

See Also

gibbs.msbsvar, msbsvar, irf, mc.irf


[Package MSBVAR version 0.4.0 Index]