girf function

Generalized Impulse Response Function

girf(model, n.ahead, ma_approx_steps)

## S3 method for class 'pvargmm'
girf(model, n.ahead, ma_approx_steps)

Arguments

• model: A PVAR model
• n.ahead: Any stable AR() model has an infinite MA representation. Hence any shock can be simulated infinitely into the future. For each forecast step t you need an additional MA term.
• ma_approx_steps: MA approximation steps

Examples

data("ex1_dahlberg_data")
girf(ex1_dahlberg_data, n.ahead = 8, ma_approx_steps= 8)