irf {FAVAR} | R Documentation |
Impulse Response Function for FAVAR
Description
Based on a shock to one standard deviation, compute the IRF.
Usage
irf(
fit,
irftype = "orth",
tcode = "level",
resvar = 1,
impvar = NULL,
nhor = 10,
ci = 0.8,
showplot = TRUE
)
Arguments
fit |
a "favar" object.
|
irftype |
'orth' is orthogonal IRF, and 'gen' is generalized
IRF.
|
tcode |
a scalar 'level' or a vector whose length equal ncol(X)+ncol(Y) .
X,Y is the parameters of the FAVAR function. If the variable is taken the
logarithm('ln' ) or the first difference of logarithm('Dln' ),
the IRF needs to return to its level value, and you can set the parameters.
Default is 'level' .
|
resvar |
It's column indexes in cbind(XY) that specify response variables.
It's a scalar or a vector. A change variable cause a change of another variable,
and the former is viewed as impulse variable, the latter is viewed as response variable.
|
impvar |
Specify a impulse variable. A numeric scalar which is position of variables in VAR equation.
If it's NULL that is default, its position is the last.
|
nhor |
IRF horizon, default is 10 .
|
ci |
confidence interval, default is 0.8.
|
showplot |
whether show figure. TRUE is default. If multiple pictures would be printed,
the package patchwork is needed to be loaded.
|
Value
A list containing 2 elements. The first element is a object from ggplot2::ggplot
, the
second element is raw data for IRF.
Examples
# see FAVAR function
[Package
FAVAR version 0.1.3
Index]