bootstrap_irf {panelvar} | R Documentation |
Empirical estimation of PVAR Impulse Response Confidence Bands
Description
Uses blockwise sampling of individuals (bootstrapping).
Usage
bootstrap_irf(
model,
typeof_irf,
n.ahead,
nof_Nstar_draws,
confidence.band,
mc.cores
)
## S3 method for class 'pvargmm'
bootstrap_irf(
model,
typeof_irf = c("OIRF", "GIRF"),
n.ahead,
nof_Nstar_draws,
confidence.band = 0.95,
mc.cores = getOption("mc.cores", 2L)
)
## S3 method for class 'pvarfeols'
bootstrap_irf(
model,
typeof_irf = c("OIRF", "GIRF"),
n.ahead,
nof_Nstar_draws,
confidence.band = 0.95,
mc.cores = getOption("mc.cores", 2L)
)
Arguments
model |
A PVAR model |
typeof_irf |
|
n.ahead |
n ahead steps |
nof_Nstar_draws |
Number of draws |
confidence.band |
Confidence band |
mc.cores |
Number of cores to use |
Examples
## Not run:
data("ex1_dahlberg_data")
ex1_dahlberg_data_bs <- bootstrap_irf(ex1_dahlberg_data, typeof_irf = c("GIRF"),
n.ahead = 8,
nof_Nstar_draws = 500,
confidence.band = 0.95,
mc.cores = 100)
## End(Not run)
data("ex1_dahlberg_data")
ex1_dahlberg_data_girf <- girf(ex1_dahlberg_data, n.ahead = 8, ma_approx_steps= 8)
data("ex1_dahlberg_data_bs")
plot(ex1_dahlberg_data_girf, ex1_dahlberg_data_bs)
[Package panelvar version 0.5.5 Index]