VARXirf function

Impluse response function of a fitted VARX model

Compute the impulse response functions and cumulative impulse response functions of a fitted VARX model

VARXirf(model,lag=12,orth=TRUE)

Arguments

• model: An output of the VARX (or refVARX) command for a vector time series with exogeneous variables
• lag: The number of lags of the impulse response function to be computed. Default is 12.
• orth: The control variable for using orthogonal innovations. This command applies to the impulse response functions of the VAR part only.

Details

Compute the impulse response functions and cumulative impulse response functions of a fitted VARX model. The impulse response function of the exogeneous variables are also given. The plots of impulse response functions are shown.

Returns

• irf: Impulse response functions of the VAR part, original innovations used

• orthirf: Impulse response functions of the VAR part using orthogonal innovations

• irfX: Impulse response function of the exogenous variables

References

Tsay (2014). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

Author(s)

Ruey S. Tsay