BVAR: plot.bvar_irf – R documentation

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plot.bvar_irf

Plotting method for Bayesian VAR impulse responses

Description

Plotting method for impulse responses obtained from irf.bvar. Impulse responses of all or a subset of the available variables can be plotted.

Usage

## S3 method for class 'bvar_irf'
plot(
  x,
  vars_response = NULL,
  vars_impulse = NULL,
  col = "#737373",
  area = FALSE,
  fill = "#808080",
  variables = NULL,
  mar = c(2, 2, 2, 0.5),
  ...
)

Arguments

`x`	A `bvar_irf` object, obtained from `irf.bvar`.
`vars_impulse, vars_response`	Optional numeric or character vector. Used to subset the plot's impulses / responses to certain variables by position or name (must be available). Defaults to `NULL`, i.e. all variables.
`col`	Character vector. Colour(s) of the lines delineating credible intervals. Single values will be recycled if necessary. Recycled HEX color codes are varied in transparency if not provided (e.g. "#737373FF"). Lines can be bypassed by setting this to `"transparent"`.
`area`	Logical scalar. Whether to fill the credible intervals using `polygon`.
`fill`	Character vector. Colour(s) to fill the credible intervals with. See col for more information.
`variables`	Optional character vector. Names of all variables in the object. Used to subset and title. Taken from `x$variables` if available.
`mar`	Numeric vector. Margins for `par`.
`...`	Other graphical parameters for `par`.

Value

Returns x invisibly.

Examples

# Access a subset of the fred_qd dataset
data <- fred_qd[, c("CPIAUCSL", "UNRATE", "FEDFUNDS")]
# Transform it to be stationary
data <- fred_transform(data, codes = c(5, 5, 1), lag = 4)

# Estimate a BVAR using one lag, default settings and very few draws
x <- bvar(data, lags = 1, n_draw = 1000L, n_burn = 200L, verbose = FALSE)

# Store IRFs ex-post
irf(x) <- irf(x)

# Plot impulse responses for all available variables
plot(irf(x))

# Subset to impulse variables in positions 2 and 3 via their name
plot(irf(x), vars_impulse = c(2, 3))

# Subset via position and increase the plotted IRF horizon
plot(irf(x, horizon = 20), vars_impulse = c("UNRATE", "FED"))

# Adjust confidence bands and subset to one response variables
plot(irf(x, conf_bands = 0.25), vars_response = "CPI")

# Draw areas inbetween the confidence bands and skip drawing lines
plot(irf(x), col = "transparent", area = TRUE)

# Subset to a specific impulse and response
plot(irf(x), vars_response = "CPI", vars_impulse = "FED")

BVAR

Hierarchical Bayesian Vector Autoregression

v1.0.1

GPL-3 | file LICENSE

Authors

Nikolas Kuschnig [aut, cre] (<https://orcid.org/0000-0002-6642-2543>), Lukas Vashold [aut] (<https://orcid.org/0000-0002-3562-3414>), Michael McCracken [dtc], Serena Ng [dtc]

Initial release

2020-09-26