irf.msbsvar: Monte Carlo Integration / Simulation of Impulse Response Functions for
an MSBSVAR model.
Description
Simulates a posterior of impulse response functions (IRF) by
Monte Carlo integration. This can handle MSBSVAR models estimated
with the msbsvar function. Simulations of IRFs
from the Bayesian model utilize the posterior estimates for that model.Usage
irf.msbsvar(gibbs, msbsvar, nsteps)
Value
MSBSVAR:
An irf.MSBSVAR class object object that is the array of
impulse response samples for the Monte Carlo samplesimpulseA list of $h$ $draws \times nsteps \times m^2$ arrays of the impulse responses. The list
if ordered by regime. These are IRFs using the associated B-SVAR
model in msbsvar and the posterior
$A_0$.Details
This is a beta function. It averages over the posterior for the
regimes and generates a set of regime-specific impulse responses.
There is one set of responses produced for each endogenous variable in
each regime. The identification of the $A_0$ for the system
is set up in the msbsvar function. See that for details.