VARMAirf {MTS}

Impulse Response Functions of a VARMA Model

Description

Compute and plot the impulse response function of a given VARMA model

Usage

VARMAirf(Phi = NULL, Theta = NULL, Sigma = NULL, lag = 12, orth = TRUE)

Arguments

Phi

A k-by-kp matrix of VAR coefficients in the form Phi=[Phi1, Phi2, ..., Phip].

Theta

A k-by-kq matrix of VMA coefficients in the form Theta=[Theta1, Theta2, ..., Thetaq]

Sigma

Covariance matrix (k-by-k) of the innovations.

lag

Number of lags of impulse response functions to be computed

orth

A logical switch to use orthogonal innovations. Deafult is to perform orthogonalization of the innovations.

Value

psi

The Psi-weight matrices

irf

Impulse response functions

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 3). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

See Also

VARMApsi command

Examples

p1=matrix(c(0.2,-0.6,0.3,1.1),2,2)
th1=matrix(c(-0.5,0.2,0.0,-0.6),2,2)
Sig=matrix(c(4,1,1,1),2,2)
m1=VARMAirf(Phi=p1,Theta=th1,Sigma=Sig)