irf_single function

Compute Impulse Response for Every Sample of MCMC

irf_single(i, varrlt, Lamb, Ynum, type = "orth", impvar = 1, nhor)

Arguments

• i: the $i$th sample in MCMC
• varrlt: estimation results for VAR equations, and it's got by BayesVAR.
• Lamb: a array with 3 dimension. and Lamb[i,,] is factor loading matrix for factor equations.
• Ynum: the ncol(Y).
• type: 'orth' is orthogonal IRF, and 'gen' is generalized IRF.
• impvar: a numeric scalar which is position of variables in VAR equation. If it's NULL that is default, its position is the last.
• nhor: IRF horizon, default is NULL

Returns

IRF matrix, the dimension is ncol(Xmatrix) + ncol(Y)xnhor.