girf {panelvar} | R Documentation |
Generalized Impulse Response Function
Description
Generalized Impulse Response Function
Usage
girf(model, n.ahead, ma_approx_steps)
## S3 method for class 'pvargmm'
girf(model, n.ahead, ma_approx_steps)
Arguments
model |
A PVAR model |
n.ahead |
Any stable AR() model has an infinite MA representation. Hence any shock can be simulated infinitely into the future. For each forecast step t you need an additional MA term. |
ma_approx_steps |
MA approximation steps |
Examples
data("ex1_dahlberg_data")
girf(ex1_dahlberg_data, n.ahead = 8, ma_approx_steps= 8)
[Package panelvar version 0.5.5 Index]