tsDyn: irf – R documentation

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irf

Impulse response function

Description

Use the fevd function from package vars to tompute the impulse response coefficients of a VAR(p) (or transformed VECM to VAR(p)) for n.ahead steps.

Usage

## S3 method for class 'nlVar'
irf(x, impulse = NULL, response = NULL, n.ahead = 10,
ortho = TRUE, cumulative = FALSE, boot = TRUE, ci = 0.95,
runs = 100, seed = NULL, ...)

Arguments

`x`	Object of class ‘`VAR`’; generated by `lineVar()`, or object of class ‘`VECM`’; generated by`VECM()`.
`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.

Details

The function converts the VAR or VECM computed by package tsDyn into an object of class ‘vec2var’, on which then the irf method is applied. For details, see the relevant package.

Value

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)`’.

Author(s)

Bernhard Pfaff

References

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.

LÃ¼tkepohl, H. (2006), New Introduction to Multiple Time Series Analysis, Springer, New York.

Examples

data(barry)

## For VAR
mod_var <- lineVar(barry, lag = 2)
irf(mod_var, impulse = "dolcan", response = c("dolcan", "cpiUSA", "cpiCAN"), boot =
FALSE)

## For VECM
mod_VECM <- VECM(barry, lag = 2, estim="ML", r=2)
irf(mod_VECM, impulse = "dolcan", response = c("dolcan", "cpiUSA", "cpiCAN"), boot =
FALSE)

tsDyn

Nonlinear Time Series Models with Regime Switching

v10-1.2

GPL (>= 2)

Authors

Antonio Fabio Di Narzo [aut], Jose Luis Aznarte [ctb], Matthieu Stigler [aut], Ho Tsung-wu [cre]

Initial release

2020-02-04

irf