svars: hd – R documentation

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hd

Historical decomposition for SVAR Models

Description

Calculation of historical decomposition for an identified SVAR object 'svars' derived by function id.st( ), id.cvm( ),id.cv( ),id.dc( ) or id.ngml( ).

Usage

hd(x, series = 1, transition = 0)

Arguments

`x`	SVAR object of class "svars"
`series`	Integer. indicating the series that should be decomposed.
`transition`	Numeric. Value from [0, 1] indicating how many initial values should be discarded, i.e., 0.1 means that the first 10 per cent observations of the sample are considered as transient.

Value

A list with class attribute "hd" holding the historical decomposition as data frame.

References

Kilian, L., Luetkepohl, H., 2017. Structural Vector Autoregressive Analysis, Cambridge University Press.

Examples

v1 <- vars::VAR(USA, lag.max = 10, ic = "AIC" )
x1 <- id.dc(v1)
x2 <- hd(x1, series = 2)
plot(x2)

svars

Data-Driven Identification of SVAR Models

v1.3.7

MIT + file LICENSE

Authors

Alexander Lange [aut, cre], Bernhard Dalheimer [aut], Helmut Herwartz [aut], Simone Maxand [aut], Hannes Riebl [ctb]

Initial release

2021-03-17

hd