GIRF_Proba_CI {EWS} R Documentation

## Confidence Intervals for the Probability - GIRF Analysis

### Description

From the results of the Simulation_GIRF function, this function calculates the values of the upper and lower bounds of the confidence intervals, as well as the average of the different response functions for the probability.

### Usage

GIRF_Proba_CI(results_simul_GIRF, CI_bounds, n_simul, horizon_forecast)


### Arguments

 results_simul_GIRF Matrix containing results of the Simulation_GIRF function. CI_bounds Numeric variable between 0 and 1 for the size of the confidence intervals. n_simul Numeric variable equal to the total number of replications. horizon_forecast Numeric variable corresponding to the horizon target for the GIRF analysis.

### Value

A list with:

 horizon Numeric vector containing the horizon targer. Simulation_CI_proba_shock a matrix containing the set of simulations of probabilities with shock belonging to the confidence interval. Simulation_CI_proba a matrix containing the set of simulations of probabilities belonging to the confidence interval. CI_proba_shock a matrix containing three columns: the lower bound of the CI, the average of the IRFs, and the upper bound of the CI for the probabilities with shock. CI_proba a matrix containing three columns: the lower bound of the CI, the average of the IRFs, and the upper bound of the CI for the probabilities.

### Author(s)

Jean-Baptiste Hasse and Quentin Lajaunie

### References

Lajaunie, Quentin. Generalized Impulse Response Function for Dichotomous Models. No. 2852. Orleans Economics Laboratory/Laboratoire d'Economie d'Orleans (LEO), University of Orleans, 2021.

### Examples


# NOT RUN {

# Import data
data("data_USA")

# Data process
Var_Y <- as.vector(data_USA$NBER) Var_X <- as.vector(data_USA$Spread)

# Simulation for the GIRF analysis
results_simulation <- Simul_GIRF(Var_Y, Var_X, TRUE, 1, 1, 2, 0.95, 3, "AM")

# Confidence intervals for the index
results <- GIRF_Proba_CI(results_simulation, 0.95, 2, 3)

# print results
results

#}


[Package EWS version 0.2.0 Index]