| VARXirf {MTS} | R Documentation |
Impluse response function of a fitted VARX model
Description
Compute the impulse response functions and cumulative impulse response functions of a fitted VARX model
Usage
VARXirf(model,lag=12,orth=TRUE)
Arguments
model |
An output of the VARX (or refVARX) command for a vector time series with exogeneous variables |
lag |
The number of lags of the impulse response function to be computed. Default is 12. |
orth |
The control variable for using orthogonal innovations. This command applies to the impulse response functions of the VAR part only. |
Details
Compute the impulse response functions and cumulative impulse response functions of a fitted VARX model. The impulse response function of the exogeneous variables are also given. The plots of impulse response functions are shown.
Value
irf |
Impulse response functions of the VAR part, original innovations used |
orthirf |
Impulse response functions of the VAR part using orthogonal innovations |
irfX |
Impulse response function of the exogenous variables |
Author(s)
Ruey S. Tsay
References
Tsay (2014). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.