FAVAR (version 0.1.3)

irf_single: Compute Impulse Response for Every Sample of MCMC

Description

Compute Impulse Response for Every Sample of MCMC

Usage

irf_single(i, varrlt, Lamb, Ynum, type = "orth", impvar = 1, nhor)

Arguments

i

the \(i\)th sample in MCMC

varrlt

estimation results for VAR equations, and it's got by BayesVAR.

Lamb

a array with 3 dimension. and Lamb[i,,] is factor loading matrix for factor equations.

Ynum

the ncol(Y).

type

'orth' is orthogonal IRF, and 'gen' is generalized IRF.

impvar

a numeric scalar which is position of variables in VAR equation. If it's NULL that is default, its position is the last.

nhor

IRF horizon, default is NULL

Value

IRF matrix, the dimension is ncol(Xmatrix) + ncol(Y)xnhor.