R: Time-Varying Impulse Response Function

tvIRF {tvReg}

R Documentation

Time-Varying Impulse Response Function

Description

Computes the time-varying impulse response coefficients of an object of class tvvar, obtained with function tvVAR for n.ahead steps.

Usage

tvIRF(
  x,
  impulse = NULL,
  response = NULL,
  n.ahead = 10,
  ortho = TRUE,
  ortho.cov = c("tv", "const"),
  bw.cov = NULL,
  cumulative = FALSE,
  ...
)

Arguments

`x`	An object of class `tvvar`.
`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 IRF is computed.
`ortho.cov`	A character indicating if the covariance matrix for the orthogonal tvIRF should be estimated as a constant or time varying. Either 'const' or 'tv' (default). This parameter is used only when ortho = TRUE.
`bw.cov`	A scalar (optional) with the bandwidth to estimate the errors variance-covariance matrix. If left NULL, it is estimated.
`cumulative`	Logical, if TRUE the cumulated impulse response coefficients are computed. Default is FALSE.
`...`	Other parameters passed to specific methods.

Value

tvIRF returns and object of class tvirf with the following components:

`irf`	A list of length the number of impulse variable(s). Each element of the list is an array of dim = c(obs x number of response variables x n.ahead).
`Lower`	A list of length the number of impulse variable(s), containing the lower confidence line, if calculated.
`Upper`	A list of length the number of impulse variable(s), containing the upper confidence line, if calculated.
`response`	A character, a number of a vector with the names or positions of the response(s) variable(s).
`impulse`	A character, a number of a vector with the names or positions of the impulse(s) variable(s).
`x`	A object of class `tvvar`

`n.ahead`	Number of ahead impulse response functions.
`ortho`	Logical, orthogonal or not impuluse response function.
`ortho.cov`	Character, either 'const' or 'tv' (default). This parameter is used when the orthogonal TVIRF is calculated. The default is using an error time-varying variance-covariance.
`bw.cov`	A scalar with the bandwidth to estimate the errors variance-covariance matrix. If NULL, it is calculated by cross-validation.
`cumulative`	Logical, if TRUE the cumulated impulse response coefficients are computed. Default is FALSE.

Examples

## Not run: 
##Inflation rate, unemployment rate and treasury bill 
##interest rate for the US as in Primiceri (2005). 
data(usmacro, package = "bvarsv")
TVVAR <- tvVAR(usmacro, p = 4, type = "const")

##Estimate a the tvIRF with time-varying covariance function
TVIRF <- tvIRF(TVVAR)

##Cumulative impulse response function
TVIRF2 <- tvIRF(TVVAR, cumulative = TRUE)

## End(Not run)