analyze_ir.varlse {bvhar} | R Documentation |
Impulse Response Analysis
Description
Computes responses to impulses or orthogonal impulses
Usage
## S3 method for class 'varlse'
analyze_ir(
object,
lag_max = 10,
orthogonal = TRUE,
impulse_var,
response_var,
...
)
## S3 method for class 'vharlse'
analyze_ir(
object,
lag_max = 10,
orthogonal = TRUE,
impulse_var,
response_var,
...
)
## S3 method for class 'bvharirf'
print(x, digits = max(3L, getOption("digits") - 3L), ...)
analyze_ir(object, lag_max, orthogonal, impulse_var, response_var, ...)
## S3 method for class 'bvharirf'
knit_print(x, ...)
Arguments
object |
Model object |
lag_max |
Maximum lag to investigate the impulse responses (By default, |
orthogonal |
Orthogonal impulses ( |
impulse_var |
Impulse variables character vector. If not specified, use every variable. |
response_var |
Response variables character vector. If not specified, use every variable. |
... |
not used |
x |
|
digits |
digit option to print |
Value
bvharirf
class
Responses to forecast errors
If orthogonal = FALSE
, the function gives VMA representation of the process such that
Responses to orthogonal impulses
If orthogonal = TRUE
, it gives orthogonalized VMA representation
. Based on variance decomposition (Cholesky decomposition)
where is lower triangular matrix,
impulse response analysis if performed under MA representation
Here,
and are orthogonal.
References
Lütkepohl, H. (2007). New Introduction to Multiple Time Series Analysis. Springer Publishing.