errorBandsIRF function

Error bands for IRF

A function to estimate the confidence intervals for irf and oirf.

errorBandsIRF(v, irf, alpha, M, resampling, ...)

Arguments

• v: a var object as from fitVAR or simulateVAR
• irf: irf output from impulseResponse function
• alpha: level of confidence (default alpha = 0.01)
• M: number of bootstrapped series (default M = 100)
• resampling: type of resampling: "bootstrap" or "jackknife"
• ...: some options for the estimation: verbose = TRUE or FALSE, mode = "fast" or "slow", threshold = TRUE or FALSE.

Returns

a matrix containing the indices of the impulse response function that are 0.