Compute Impulse-Response Functions
irf(obj, id_obj, nhor = 12, ncores = 1, irfquantiles = c(0.05, 0.95), ...) # S3 method for bvar irf(obj, id_obj, nhor = 12, ncores = 1, irfquantiles = c(0.05, 0.95), ...) # S3 method for favar irf(obj, id_obj, nhor = 12, ncores = 1, irfquantiles = c(0.05, 0.95), ...) # S3 method for ftvar irf(obj, id_obj, nhor = 12, ncores = 1, irfquantiles = c(0.05, 0.95), bootrep = 50, ...) # S3 method for msvar irf(obj, id_obj, nhor = 12, ncores = 1, irfquantiles = c(0.05, 0.95), ...) # S3 method for tvar irf(obj, id_obj, nhor = 12, ncores = 1, irfquantiles = c(0.05, 0.95), bootrep = 50, ...)
| obj | an S3 object of class bvar |
|---|---|
| id_obj | an S3 object with information about identifiaction of the model |
| nhor | horizon of the impulse-response function |
| ncores | number of cores used |
| irfquantiles | quantiles for the impulse-response functions |
| ... | currently not used |
| bootrep | bootstrap replication for generalized impulse-response functions |
returns an S3-object of the class bvirf, fvirf, msirf or tirf
The function irf computes impulse-response functions for estimatet linear and non-linear VAR models. For Threshold-VARs and Factor-augmented Threshold-VARs generalized impulse-response functions are computed. The parameter bootrep determines how many bootstrap replications are going to be computed.
Gary Koop, M. Hashem Pesaran and Simon M. Potter, 1996, Impulse response analysis in nonlinear multivariate model, Journal of Econometrics 74(1), 119-147