IRF {ConnectednessApproach}

Impulse response functions

Description

This function calculates orthorgonalized/generalized impulse response functions of time or frequency domain.

Usage

IRF(Phi, Sigma, nfore = 10, orth = TRUE)

Arguments

Phi

VAR coefficient matrix

Sigma

Residual Variance-Covariance Matrix

nfore

H-step ahead forecast horizon

orth

Boolean

Value

Orthorgonal/generalized time/frequency impulse response functions

Author(s)

David Gabauer

References

Stiassny, A. (1996). A spectral decomposition for structural VAR models. Empirical Economics, 21(4), 535-555.

Koop, G., Pesaran, M. H., & Potter, S. M. (1996). Impulse response analysis in nonlinear multivariate models. Journal of Econometrics, 74(1), 119-147.

Pesaran, H. H., & Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters, 58(1), 17-29.

Examples

data("dy2012")
fit = VAR(dy2012, configuration=list(nlag=1))
irf = IRF(Phi=fit$B, Sigma=fit$Q, nfore=10, orth=TRUE)