IRF function

Impulse response functions

This function calculates orthorgonalized/generalized impulse response functions of time or frequency domain.

IRF(Phi, Sigma, nfore = 10, orth = TRUE)

Arguments

• Phi: VAR coefficient matrix
• Sigma: Residual Variance-Covariance Matrix
• nfore: H-step ahead forecast horizon
• orth: Boolean

Returns

Orthorgonal/generalized time/frequency impulse response functions

Examples

data("dy2012")
fit = VAR(dy2012, configuration=list(nlag=1))
irf = IRF(Phi=fit$B, Sigma=fit$Q, nfore=10, orth=TRUE)

References

Stiassny, A. (1996). A spectral decomposition for structural VAR models. Empirical Economics, 21(4), 535-555.

Koop, G., Pesaran, M. H., & Potter, S. M. (1996). Impulse response analysis in nonlinear multivariate models. Journal of Econometrics, 74(1), 119-147.

Pesaran, H. H., & Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters, 58(1), 17-29.

Author(s)

David Gabauer