bv_irf {BVAR} | R Documentation |

Provides settings for the computation of impulse responses to
`bvar`

, `irf.bvar`

or `fevd.bvar`

. Allows
setting the horizon for which impulse responses should be computed, whether
or not forecast error variance decompositions (FEVDs) should be included
as well as if and what kind of identification should be used. See the Details
section for further information on identification. Identification can be
achieved via Cholesky decomposition, sign restrictions (Rubio-Ramirez,
Waggoner and Zha, 2010), and zero and sign restrictions (Arias,
Rubio-Ramirez and Waggoner, 2018).

bv_irf( horizon = 12, fevd = FALSE, identification = TRUE, sign_restr = NULL, sign_lim = 1000 )

`horizon` |
Integer scalar. The horizon for which impulse responses (and FEVDs) should be computed. Note that the first period corresponds to impacts i.e. contemporaneous effects. |

`fevd` |
Logical scalar. Whether or not forecast error variance decompositions should be calculated. |

`identification` |
Logical scalar. Whether or not the shocks used for
calculating impulses should be identified. Defaults to |

`sign_restr` |
Elements inform about expected impacts
of certain shocks. Can be either |

`sign_lim` |
Integer scalar. Maximum number of tries to find suitable matrices to for fitting sign or zero and sign restrictions. |

Identification can be performed via Cholesky decomposition, sign restrictions, or zero and sign restrictions. The algorithm for generating suitable sign restrictions follows Rubio-Ramirez, Waggoner and Zha (2010), while the one for zero and sign restrictions follows Arias, Rubio-Ramirez and Waggoner (2018). Note the possiblity of finding no suitable zero/sign restrictions.

Returns a named list of class `bv_irf`

with options for
`bvar`

, `irf.bvar`

or `fevd.bvar`

.

Rubio-Ramirez, J. F. and Waggoner, D. F. and Zha, T. (2010) Structural
Vector Autoregressions: Theory of Identification and Algorithms for
Inference. *The Review of Economic Studies*, **77**, 665-696,
https://doi.org/10.1111/j.1467-937X.2009.00578.x.
Arias, J.E. and Rubio-Ramirez, J. F. and Waggoner, D. F. (2018)
Inference Based on Structural Vector Autoregressions Identifiied with
Sign and Zero Restrictions: Theory and Applications.
*Econometrica*, **86**, 2, 685-720,
https://doi.org/10.3982/ECTA14468.

# Set impulse responses to a horizon of 20 time periods and enable FEVD # (Identification is performed via Cholesky decomposition) bv_irf(horizon = 20, fevd = TRUE) # Set up structural impulse responses using sign restrictions signs <- matrix(c(1, NA, NA, -1, 1, -1, -1, 1, 1), nrow = 3) bv_irf(sign_restr = signs) # Set up structural impulse responses using zero and sign restrictions zero_signs <- matrix(c(1, 0, NA, -1, 1, 0, -1, 1, 1), nrow = 3) bv_irf(sign_restr = zero_signs) # Prepare to estimate unidentified impulse responses bv_irf(identification = FALSE)

[Package *BVAR* version 1.0.1 Index]