GI function

Generalized Impulse Response Function (GIRF)

Compute GIRF of linear VAR by Koop et al. (1996)

GI(ma, sig_u, imp_var = 1, unit = "sd")

Arguments

• ma: a list, it's MA coefficients from ar2ma

• sig_u: a covariance matrix from VAR models. Note the order of variables in sig_u

  is same with one of ma[[i]].

• imp_var: a numerical scalar which specifies the impulse variable.

• unit: 'sd' is one standard deviation shock which is default, and 'one' is one unit shock.

Returns

a data frame, its row is variables and its column is horizons.

References

Koop, G., M.H. Pesaran and S. Potter, Impulse Response Analysis in Nonlinear Multivariate Models. Journal of Econometrics, 1996. 74: p. 119-147.