irf.varshrinkest {VARshrink}

Impulse response function

Description

Computes the impulse response coefficients of a VAR(p) (or transformed VECM to VAR(p)) for n.ahead steps. This is a modification of vars::irf() for the class "varshrinkest".

Usage

## S3 method for class 'varshrinkest'
irf(x, impulse = NULL, response = NULL,
  n.ahead = 10, ortho = TRUE, cumulative = FALSE, boot = TRUE,
  ci = 0.95, runs = 100, seed = NULL, ...)

Arguments

x

Object of class 'varshrinkest'; generated by VARshrink()

impulse

A character vector of the impulses, default is all variables.

response

A character vector of the responses, default is all variables.

n.ahead

Integer specifying the steps.

ortho

Logical, if TRUE (the default) the orthogonalised impulse response coefficients are computed (only for objects of class 'varshrinkest').

cumulative

Logical, if TRUE the cumulated impulse response coefficients are computed. The default value is false.

boot

Logical, if TRUE (the default) bootstrapped error bands for the imuplse response coefficients are computed.

ci

Numeric, the confidence interval for the bootstrapped errors bands.

runs

An integer, specifying the runs for the bootstrap.

seed

An integer, specifying the seed for the rng of the bootstrap.

...

Currently not used.

See Also

irf