ComputeGIRFs function

Compute GIRFs for all models

ComputeGIRFs(
  Sigma.y,
  F1,
  BLoad,
  G0.y,
  FactorLabels,
  FacDim,
  MatLength,
  GIRFhoriz,
  YieldsLabel,
  ModelType,
  Economy = NULL,
  PI = NULL,
  Mode = FALSE
)

Arguments

• Sigma.y: Variance-covariance matrix

• F1: Feedback matrix

• BLoad: Loading Bs

• G0.y: matrix of contemporaneous terms

• FactorLabels: List containing the labels of the factors

• FacDim: Dimension of the P-dynamics

• MatLength: Length of the maturity vector

• GIRFhoriz: Horizon of the analysis

• YieldsLabel: Label o yields

• ModelType: desired Model type

• Economy: Economy under study

• PI: matrix PI for JLL-based models

• Mode: allows for the orthogonalized version in the case of JLL-based models

  #' @references

  • This function is a partially based on the version of the "irf" function from Smith, L.V. and A. Galesi (2014). GVAR Toolbox 2.0, available at https://sites.google.com/site/gvarmodelling/gvar-toolbox.
  • Pesaran and Shin, 1998. "Generalized impulse response analysis in linear multivariate models" (Economics Letters)