tsDyn (version 0.9-1)

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 byVECM().

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.

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).

encoding

latin1

concept

• VAR
• Vector autoregressive model
• irf
• impulse response function
• VECM

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.

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.

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

See Also

plot for the plot method. lineVar, VECM for the models.

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)