errorBandsIRF {sparsevar}

Error bands for IRF

Description

A function to estimate the confidence intervals for irf and oirf.

Usage

errorBandsIRF(v, irf, alpha, M, resampling, ...)

Arguments

v

a var object as from fitVAR or simulateVAR

irf

irf output from impulseResponse function

alpha

level of confidence (default alpha = 0.01)

M

number of bootstrapped series (default M = 100)

resampling

type of resampling: "bootstrap" or "jackknife"

...

some options for the estimation: verbose = TRUE or FALSE, mode = "fast" or "slow", threshold = TRUE or FALSE.

Value

a matrix containing the indices of the impulse response function that are 0.