APRScenario (version 0.0.3.0)

SimScen: simscen function This function takes the mean and covariance of the conditional forecast to draw from the conditional forecast distribution The shock uncertainty is included in the simulation by default, but can be turned off.

Description

simscen function This function takes the mean and covariance of the conditional forecast to draw from the conditional forecast distribution The shock uncertainty is included in the simulation by default, but can be turned off.

Usage

SimScen(
  mu_eps,
  Sigma_eps,
  mu_y,
  Sigma_y,
  big_b,
  big_M,
  n_sim,
  h,
  varbls,
  idx_sampled = 1:dim(mu_eps)[3],
  shock_uncertainty = TRUE
)

Value

conditional forecast path and distribution

Arguments

mu_eps

mean innovation

Sigma_eps

variance innovation

mu_y

mean forecast

Sigma_y

variance forecast

big_b

history forecast

big_M

IRF (innovation loading)

n_sim

number of simulations

h

horizon

varbls

variable names

idx_sampled

index of random sample to use instead of full draws (from scenarios)

shock_uncertainty

(logical; optional) whether to include uncertainty in shocks (default is TRUE)

Examples

if (FALSE) {
# Example usage after scenarios() function call
# Requires scenario results from scenarios() function
result <- SimScen(mu_eps = scenario_output$mu_eps, 
                  Sigma_eps = scenario_output$Sigma_eps,
                  mu_y = scenario_output$mu_y, 
                  Sigma_y = scenario_output$Sigma_y,
                  big_b = scenario_output$big_b, 
                  big_M = scenario_output$big_M,
                  n_sim = 1000, h = 3, varbls = c("GDP", "CPI", "FFR"))
}