ComputeIRFs function

Compute IRFs of all models

ComputeIRFs(
  SIGMA,
  K1Z,
  BLoad,
  FactorLabels,
  FacDim,
  MatLength,
  IRFhoriz,
  YieldsLabel,
  ModelType,
  Economy = NULL,
  PI = NULL,
  Mode = FALSE
)

Arguments

• SIGMA: Variance-covariance matrix
• K1Z: Loading As
• BLoad: Loading Bs
• FactorLabels: List containing the label of factors
• FacDim: Dimension of the P-dynamics
• MatLength: Length of the maturity vector
• IRFhoriz: Horizon of the analysis
• YieldsLabel: Label of bond yields
• ModelType: Desired model type
• Economy: specific economy under study
• PI: matrix PI for JLL-based models
• Mode: allows for the orthogonalized version in the case of JLL-based models